Carry trade

[GiaMa]

Acho que nao è comum falar de "carry trades" mas è uma estrategia muito comum para quem trabalha com grandes capitais.

Explicaçao simples: um carry trade è uma operaçao de venda de moeda com baixo "interest rate" e compra de uma moeda (ou investimento) que tem um "interest rate" mais alto.

Os melhores carry trades dos ultimos anos sois geralmente com NZD, GBP, JPY e CHF.
Assim, por exemplo, financiar-se em JPY (0.7%) ou CHF (2.3%) para investir em GBP (5.8%) ou NZD (7.5%).

O que è interessante è que pessoas que trabalham com carry trades geralmente tem tambem um leverage de 1 a 5 ou talvez 10.... Eles se financiam com "poucas coisas" 

Vamos a observar o que acontece na comparaçao entre o carry trade NZDJPY e o indice S&P-500.
Muito interessante, nao?

[GiaMa]

Abaixo, o cross CHFJPY em comparaçao com o indice SP-500.

A volatilidade VIX (ler o topico relacionado) e tambem a volatilidade no "carry trade", ontem, foram indice de panico.
Eu acho (minha opiniao simples) que foi um eccesso, sobretudo na volatilidade do carry trade (CHFJPY e, melhor, em outros, por esemplo NZDJPY).

O melhor sinal de panico, seria um hedge fund que è costringido a fechar posiçoes. E o grafico de CHFJPY parece sugerir esto momento. Parece que algun hedge fund è costringido a fechar posiçoes.

Eu sou comprador, hoje, no mercado acionario em Europa e estou fechando alguns hedge (com futuros) para minha carteira.

Algun tem opiniao concorde ou differente?

[GiaMa]

  Grande!
1 hora antes de FED.
Grandeeee!
Fed Announces 50 BP Cut In Discount Rate, To 5.75%    
  NEW YORK (Dow Jones)--The Federal Reserve announced Friday temporary changes
in its primary credit discount window facility, including a 50-basis-point cut
in the discount rate "to promote the restoration of orderly conditions in
financial markets." 
  Besides the discount rate cut, the Fed announced a change in the Reserve
Banks' practice, "to allow term financing for as long as 30 days, renewable by
the borrower." 
  The Fed said the changes will remain in place until the Fed "determines that
market liquidity has improved materially." 

[GiaMa]

Abaixo, 2 graficos para conversar sobre meus pensamentos....

Esta semana foi a melhor para o yen (contra USD) desde 1998. E tambem para outros como GBPJPY ou NZDJPY.

Como eu escrevi antes, e em outro topicos ("Credito: poderia ser um problema?", quando algun cross tem um assim amplo movimento è muito muito provavel que algun grande hedge fund està fechando posiçoes em carry trades (porqué hedge funds financiam suas operaçoes com os carry trades; por exemplo se financiam em JPY para comprar em EUR ou USD).

No primeiro grafico, no inicio de este topico, estava a relaçao entre o grafico de indice SP-500 e o NZDJPY. Era interessante olhar como o indice SP-500 sobe quando o NZD sobe e cai quando o NZD cai (a situaçao è similhante em outros carry trades).

Esta semana foi uma situaçao de "panico" nos mercados mas, o que me parece mais importante, è que o mesmo foi registrado em alguns crosses de moedas e isso nao è em verdade "panico" mas è "necessitade" de fechar posiçoes para quem trabalha com grandes leverages (e margem) em carry trades (por exemplo, os hedge funds).

Abaixo, 2 graficos diarios.
O primeiro rapresenta o cross USDJPY e o indice S&P-500. Esta semana foi a melhor desde 1998 para o YEN (assim, esta semana o YEN foi muito muito comprado).

Mais abaixo, um outro grafico diario. Ele rapresenta o mesmo cross USDJPY e o indice S&P-500 em 1998. Em 1998 foi a crise de debito de Russia e o crack do mega hedge fund LTCM.

Para mim o grafico de 1998 rapresenta a mesma situaçao de hoje.

Olha bem... eu nao vejo o futuro nem sou um mago, mas sou somente um investidor que tenta de performar mais que o benchmark, assim tudo o que eu escrevo no forum è somente meu trabalho e minhas ideas e portanto nao as considere em sua tomada de decisao para efetuar seus investimentos. As decisioes para efetuar os seus investimentos é de exclusiva responsabilidade sua.

Alguns gostaria de participar em esta discussao?

21 ago - escrevo algunas datas: mercados emergentes atingiram o topo em primavera 1998. A Russia "quebrou" e desvalorizou o 17 de agosto, a crise do LTCM no inicio setembro. A FED anunciou o problema de LTCM em 23 setembro e reduziu os juros 3 vezes (29 set e 2 vezes mais no 2 meses seguintes, com o 15 de outubro que foi um inter-meeting).

[GiaMa]

Abaixo, 3 graficos de outros carry trades:
GBPJPY, NZDJPY, NZDCHF

Interessante, nao?

[GiaMa]

DJ Market Talk

The dollar is up against the yen early Monday as carry trades begin to be re-established after heavy unwinding in recent weeks amid heavy volatility. But Greg Anderson, director of foreign exchange strategy at ABN Amro in Chicago, notes that "although the market has started to re-leverage carry trades, there is still a long ways to go before they begin to approach the crowding and levels of late June and early July. Given the fact that many algorithms for triggering carry trade entry have a volatility component, it is unlikely that carry trades will begin to be re-loaded until volatility in FX has been at 'normal' levels for several weeks."

Wall Street Journal

Currency Trading: 'Carry Trade' Becomes Harder Play

  As if many hedge funds and other global investors weren't having a tough enough time during the market selloff, now one of their favorite bets looks to be in jeopardy: the "carry trade." 
  This popular strategy -- where investors borrow money in countries with low interest rates, such as Japan, to invest in assets in countries with higher rates -- has been a source of tremendous profits for currency speculators, companies and even Japanese small investors for years. 
  But the onset of a U.S. credit crisis has generated an aversion to riskier, higher-yielding assets. That has caused speculators to reverse course, buying back currencies they borrowed in before they get even more expensive. The quandary now is that after many lucrative years with the carry trade, there is no obvious strategy to take its place under the current market conditions. 
  "That's the problem," says John Taylor, chief investment officer at FX Concepts, a New York hedge fund that specializes in currencies and manages $13 billion. "We're basically out of [the carry trade] now and it gets more complex and harder to make money." 
  The biggest winner during the unwinding of the carry trade is likely to be the yen, which at one point on Thursday strengthened more than 4% against the dollar -- would have been its biggest one-day gain since 1998, had it held all those gains. 
  Though the yen declined on Friday, the Japanese currency surged 3.8% against the dollar for the week, and more than 9% versus the Australian dollar and 11% versus the New Zealand dollar. But these moves are generally not welcome in Japan, where a stronger currency hurts exporters and could weigh on stocks. 
  The rapid unwinding of the carry trade in recent days strained the $2 trillion-a-day foreign-exchange market, usually among the most liquid of any market, even during crisis periods. But on Thursday and Friday, traders complained that trading even small yen orders became a challenge because buyers were overwhelming sellers. Some traders said the prices offered them looked so odd they suspected that some banks weren't really prepared to trade the currency at all. "They just don't want to make prices," one trader said. "They don't know where prices are." 
  Earlier this year, Mr. Taylor said, his firm borrowed money in yen at near-zero rates and invested that money in New Zealand dollars and Australian dollars, where those rates recently have been 6% to 8%. 
  Since then, the firm has been looking for another strategy as reliable. It won't be easy. Goldman Sachs said earlier this year that one basic version of the carry trade -- selling the six currencies with the lowest interest rates, buying the six with the highest, and resetting the mix once a month -- has returned 19% annually since 1998. That made it both one of the most straightforward and profitable strategies over that period.   
  Yet when interest rates move and market volatility accelerates, traders can get crushed as they all head to the exits trying to reverse their bets at the same time. Once the yen begins to rally, traders want to buy it back so they can close out their open loan positions before the yen gets even more expensive. 
  Even so, some investors are hoping that the unwinding of the carry trade is merely a short-term reaction to the credit crunch, and that it will return to fashion as it did after a violent unwinding in February and March and the spring of last year. 
  "I don't think that will happen now," says Rodrigo Guimaraes, a Barclays currency analyst in London. He says that three conditions are usually necessary for the carry trade to thrive: a funding currency with low interest rates, low market volatility and plenty of trading liquidity. 
  Mr. Guimaraes believes that Japanese rates will remain low for some time. But he thinks it may be a while before volatility eases and liquidity may not return to the abundant levels seen in recent years. Meanwhile, he sees further unwinding of the trade in the days ahead. "We think that long-term investors,
such as corporates and Japanese individuals, are only just beginning to unwind their long carry positions," he said in a recent report. While the dollar strengthened a bit on Friday to 114.21 from 113.88 yen, Mr. Guimaraes sees it going to at least 110 yen. 
  For now, Japanese currency authorities seem unperturbed by the yen's surge, encouraging traders to maintain their bullish outlook. Japan's currency-policy point man, Naoyuki Shinohara, said he was watching the market carefully, but declined to comment on specific currency moves. Many traders took this as a sign that the ministry will not intervene to stop the yen's rise soon. 
  --- 
  Sebastian Moffett and Amy Chozick contributed to this article.     
(See related article: "Friday's Markets: Cut in Borrowing Rate, Call With Banks Help Dow Back Above 13000" -- WSJ Aug. 18, 2007) 

[GiaMa]

Esta semana foi a melhor para o yen (contra USD) desde 1998. E tambem para outros como GBPJPY ou NZDJPY.

Como eu escrevi antes, e em outro topicos ("Credito: poderia ser um problema?", quando algun cross tem um assim amplo movimento è muito muito provavel que algun grande hedge fund està fechando posiçoes em carry trades (porqué hedge funds financiam suas operaçoes com os carry trades; por exemplo se financiam em JPY para comprar em EUR ou USD).
.....

Depois 1 semana, tambem RBC Capital Markets concorda com GiaMa. 

0727 GMT [Dow Jones] JPY strength over the last two weeks may have had more to do with the unwinding of leveraged and margin positions rather than real money flows, says RBC Capital Markets, after studying the latest weekly capital flows data from the Ministry of Finance.

[GiaMa]

....

Para mim o grafico de 1998 rapresenta a mesma situaçao de hoje.
.......

Up... Hoje tenho a mesma opiniao de 17 de agosto. Espero de nao me enganar

http://www.finbest.net/forum/index.php?topic=271.msg1438#msg1438

[GiaMa]

14 set 2007
Grafico diario de comparaçao entre SP-500 (verde) e NZDJPY (vermelho).

[GiaMa]

 
Atualizaçao até hoje, 12 dezembro 2007, do carry trade NZDJPY em comparaçao ao indice SP-500. Grafico diario.