本轮股票走低原因

cn_yy

原帖由 Devil_Star 于 2007-3-8 00:03 发表


严重同意～

看来我们这帮都是夜鬼，呵呵

Devil_Star

事情太多了， 没办法，呵呵

oliverzeno

今晚也来凑热闹。。

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坛子里有人玩黄金的么？

呵呵。。

oliverzeno

Most useful thing I have read on the yen carry trade lately (from ML fx
strategy team)

We reproduce some popular client questions:

1.  Q: What's the size of the carry trade?
A: Nobody knows.

2.  Q:  Surely its just a matter of time before yen starts depreciating
again?  After all its rate differential to the high yielders remains
high.
A:  The yen has had the lowest yield in the G10 world since 1993 and has
gone up and down during that period.  We have tested a filter that says
"sell carry trade when rate differentials are narrowing";  that filter
gives you a 45% chance you are right, ie it doesn't work.

3.  Q:  If rate differentials don't matter, then what does?
A:  Our carry tripod consists of:

i/  when low yielders are hiking rates, carry trades unwind with 75%
probability
ii/ when volatility is rising AND i/ is true, carry trades unwind with
82% probability
iii/  when rates go above neutral AND i/ is true, carry trades unwind
with 85% probability

4.  Q:  But the BoJ is only hiking at a very slow pace, why would small
rate hikes matter?
A:  We tested for it, and found the speed of increase in interest rates
or volatility does not make a difference.  It only matters that low
yielders are hiking, not how fast they are hiking.

5.  Q:  But carry trade always work in the long run, right?
A:  Wrong.  The returns from carry trade strategies come entirely from
carry itself, not from spot movements.  The Sharpe ratio of such
strategies is very poor, ie your risk-adjusted return is very low.  With
any reasonable stop-loss parameters, you would be stopped out before you
earn the carry.  Knowing when to get into and exit carry trades is
critical.

In fact, contrary to popular belief, carry has not been working very
well over past year or so.  Plot the two most extreme pairs, NZD-JPY and
AUD-CHF to see what I mean.

6.  Q:  I can always get out just before it breaks down.
A:  Experience of past week shows that you don't get much warning.

7.  Q:  It's overdone, time to go the other way.
A:  Unless you think that low-yielding central banks will stop hiking
and volatility will go back down, this doesn't make sense to us.

8.  Q:  But surely the Japanese must be worried by what's going on.
A:  Not yet.  Don't forget that policy makers globally have been warning
on the carry trade, excess risk taking, low implied volatility and
complacency for a while now.  Their hurdle to react is high.  For
example, just today, Japan's Finance Minister Omi said that he is not
worried "on stocks or yen".  Why not position your portfolio with the
policy makers rather than against them?

9.  Q:  What will reverse this?
A:  Surely the wrong question to ask for now?  We stay short USD-JPY,
long EUR-NZD and long USD-ZAR.


Tobias Gehrke
Equity Derivative Sales
Merrill Lynch International
2 King Edward St
London EC1A 1HQ