financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2018-22-3-52-63finance-658Research ArticleМЕЖДУНАРОДНЫЕ ФИНАНСЫINTERNATIONAL FINANCEДОХОДНОСТЬ СТРАТЕГИИ CARRY TRADETHE YIELD OF THE CARRY TRADE STRATEGY МихайловА. Ю.MikhailovA. Yu.

заведующий лабораторией «Томсон Рейтер» Департамента финансовых рынков и банков, 

Москва

head of Thomson Reuter Laboratory, Department of financial markets andbanks,

Moscow

ayumihajlov@fa.ruФинансовый университетРоссияFinancial UniversityRussian Federation2018100620182235263Copyright ©  Михайлов А.Ю., 20182018 Михайлов А.Ю.Mikhailov A.Y.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/658

В статье анализируется стратегия carry trade, которая предполагает заимствование денег с низкой процентной ставкой, инвестирование в  стране с  высокими процентными ставками и  может генерировать высокий коэффициент на развитых и развивающихся рынках.

Целью данной работы является формирование оптимальных стратегий и портфеля carry trade.

Задачи исследования

Задачи исследования: изучение взаимосвязи между доходностью торговой стратегии carry и фондового рынка США на основе математического подхода и предложение портфеля валют с наибольшей исторической доходностью за последние пять лет.

В статье используется модель относительного неприятия риска. Анализируются данные о валютных курсах, форвардной премии и реальном обменном курсе Еврозоны, а также таких стран Организации экономического сотрудничества и развития (ОЭСР), как Австралия, Бразилия, Китай, Япония, Новая Зеландия, Россия, Швейцария, Великобритания и Соединенные Штаты Америки.

Доходность carry trade не связана со стандартными факторами риска. Популярная валюта фондирования — иена — испытала сильные скачки волатильности в результате кризиса 2008–2009 гг. Возможное объяснение этого разворота — аппетит инвесторов к риску.

Выводы

Выводы: самые распространенные стратегии carry trade в период с 2009 по 2014 г. сформированы на базе двух валют финансирования (японской иены и доллара США) и трех инвестиционных валют (австралийского доллара, новозеландского доллара и китайского юаня.) После 2014 г. доллар США перестает быть валютой фондирования, уступая место евро. Оптимальная стратегия carry trade представляет собой заимствования в валютах развитых стран (EUR, JPY) и инвестирование в валюты энергетических стран (RUB, BRL).

Существует негативная связь между объемом сделок по стратегии carry trade и доходностью акций страны финансирования. Также проявляется значимая взаимозависимость между доходностью стратегии carry trade и рентабельностью фондового рынка США. 

The article analyzes the carry trade strategy in which, according to common definition, traders borrow a currency that has a low-interest rate and use the funds to buy a different currency that is paying a higher interest rate. The aim of this work is to form the optimal strategies and carry trade portfolio. The task of our study was to study the interdependence between the yield of the carry trade strategy and the USA stock market on the basis of a mathematical approach and offer a portfolio of currencies with the highest historical yield over the past five years. The author used the model of relative risk aversion. We analyzed data on exchange rates, forward premium and real exchange rates for the Eurozone, as well as for countries of the Organization for Economic Cooperation and Development (OECD) such as Australia, Brazil, China, Japan, New Zealand, Russia, Switzerland, the United Kingdom and the United States of America. Carry trade’s yield is not tied to standard risk factors. Popular funding currency — the yen has experienced a strong jump of volatility as a result of the 2008–2009 crisis. A possible explanation for this reversal is investors’ appetite for risk. The author concluded that the most common carry trade strategies in the period from 2009 to 2014 were formed on the basis of two financing currencies (Japanese yen and the US dollar) and three investment currencies (Australian dollar, New Zealand dollar and Chinese yuan). After 2014, the US dollar ceases to be the funding currency, giving way to the Euro. The optimal carry trade strategy is borrowing in the currencies of developed countries (EUR, JPY) and investing in the currencies of energy producing countries (RUB, BRL). There is a negative relationship between the volume of transactions based on the carry trade strategy and the yield of shares in the financing country. There is also a significant link between the yield of the carry trade strategy and the profitability of the USA stock market.  

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The authors declare that there are no conflicts of interest present.