dax futures vs index

Discussion in 'Index Futures' started by luisHK, Apr 29, 2016.

  1. luisHK

    luisHK

    Hi

    i've been looking into investing long term into DAX through DAX futures, can anyone explain why the DAX index today seems slightly higher than its june and september futures, and the september futures is only 10 points below the june futures ( right now september bid is at 10147 and june 10157 ) ?
    How come September futures aren't lower than that compared tio June and Index, with the dividends to come and the carry (applied interest rates it should be slightly negative )
    I'm a bit surprised and might need to reconsider my strategy.
    Thanks in advance for all replies
     
  2. luisHK

    luisHK

    Worth of note also when trading european futures with IB, IB now charges the euro cash held in the account around 0.6% per year (over 100k at least)
     
    Last edited: Apr 29, 2016
  3. luisHK

    luisHK

    Also worth of note is other index futures in markets with higher interest rates are in a significant backwardation. Dax dividend yield is over 2% last i checked, i'm puzzled here.
     
  4. DAX is a total return index... Works a bit different to the other traditional price indices. It's them kinky Germans, y'know?
     
  5. luisHK

    luisHK

    Thanks Martin for giving a lead, I've started looking up the issue and it appears SPX is also a total return index.
    ES settle on SPX, yet ES have a steeper backwardation than DAX and I don't remember ever seeing the SPX below any future price (to be fair I followed the DAX futures in real time yesterday while the DAX quote was delayed but DAX appeared slightly below the June futures).
    Also I suspect you could come up with a more precise answer now than myself after spending a few more hours reading on the topic, so in case you - or anyone else - might help :
    Are DAX futures a good proxy to invest in DAX constituents and profiting of their dividend payments -while not beeing hit by witholding tax nor needing to leave all the cash in the trading account ?

    I'm keen on going that way as the contract size, negative interest rates and reasonably tight spread 6 months out makes it a convenient investment vehicule but will need to reconsider if it underperforms the underlying.
     
    Last edited: Apr 30, 2016
  6. Nah, it's a little different... Basically, both forms of indices exist for pretty much every mkt, but it's just a matter of which particular numbers get quoted when people refer to the most commonly used headline number. In the case of Spooz and most others, people choose to quote the price indices, whereas for DAX people quote the so called performance index.

    For example, see here for a closer look:
    http://blogs.wsj.com/moneybeat/2014/06/09/germans-equities-are-less-stellar-than-they-seem/
    http://www.advisorperspectives.com/dshort/commentaries/DAX-verus-DAXK.php

    As to your question, DAX futures should be no better or worse than other index futures. It's just quoting conventions that differ, which means that you just need to be careful about comparing apples and oranges.
     
  7. luisHK

    luisHK

    Thanks a lot for the extra input, this time i understand why the curve is so flat.
    Indeed I had completely missed that peculiarity of DAX (and never thought of adjusting performances of DAX to DAXK when comparing its performance to other indexes)