Deutsche creates FX index based on Autbahn data
Deutsche Bank’s Research unit is launching a new set of proprietary foreign exchange positioning indices based on data from its Autobahn FX trading platform.
Called Corax – Categorised ORderflow from Autobahn FX – the indices will be published every Wednesday in the Corax Positioning Report.
The latest data shows that the main drivers behind this year’s dollar surge are asset managers, who have been buying close to record amounts of dollars. Hedge funds, in contrast, have been reducing dollar longs, suggesting that it is the behaviour of real money, rather than hedge fund investors that will drive the next move in the dollar.
David Folkerts-Landau, chief economist and member of the group executive committee at Deutsche Bank, said: “We are excited to be able to offer our clients the best foreign exchange positioning indices available anywhere. Including all G10 currencies and the most liquid currencies in emerging markets, Corax is an example of the type of international market research that only a leading global bank can create.”
Nicholas Weng, an FX strategist at Deutsche Bank and the creator of Corax, said: “Corax will be published with a one working day lag and is more comprehensive than other available products. We have managed to leverage Deutsche Bank’s position in foreign exchange whilst ensuring client confidentiality by a strict index construction process.”
The combination of characteristics means Corax positioning can supplement standard positioning metrics.
