Crashandcarry风险与收益.doc

Crash and carry 风险与收益Dec 10th 2009From The Economist print edition New research suggests a way to make steady profits from the carry tradeWHEN pundits worry about the distorting effects of cheap money on asset prices, they invariably single out the carry trade as a cause for concern. The term is often used loosely to describe any investment that looks suspiciously profitable. More specifically it refers to a particular sort of foreign-exchange trading: that of borrowing cheaply in a “funding” currency to exploit high interest rates in a “target” currency. The yen has long been a favoured funding currency for the carry trade because of Japan’s permanently low interest rates. As a result of the crisis and near-zero rates in America, the dollar has become one, too.新的研究提出了一种从利差交易中获得稳定利润的新方法当学者为低息贷款对资产价格的扭曲而感到担忧时，他们总是指出套利交易是应引起注意的一个原因。这种术语常常随意的被用来描述任何看起来获利不那么稳定的投资。更具体的来讲，这是一种特殊的外汇交易方式：这种交易通过借入便宜的货币作为“积存”货币来利用利率较高的“目标”货币从而获取利润。，人们很长时间内都喜欢将日元作为“积存”货币，这是因为日本的拥有长期不变的低利率。由于金融危机以及零利率的原因，美元现在也变成了人们喜欢的“积存”货币。If markets were truly efficient, carry trades ought not to be profitable because the extra interest earned should be exactly offset by a fall in the target currency. That is why high-interest currencies trade at a discount to their current or “spot” rate in forward markets. If exchange rates today were the same as those in forward contracts, there would be an opportunity for riskless profit. Arbitrageurs could buy the high-interest currency today, lock in a future sale at the same price and pocket the extra interest from holding the currency until the forward contract is settled.如果市场是完全效率的话，那么套利交易应该是没有多少利润的，因为额外的利率收益应该被目标货币的贬值抵消掉了。这就是为什么在远期合同中高利率货币交易总是在现时价格或点数上打折扣的原因了。如果今天的汇率水平和远期合同中的汇率水平是一样的，那么就有机会得到无风险的收益。套利者可以在今天购买高利率的货币，并以相同的价格在未来锁定售出价格，然后在远期合同到期前从持有的货币中赚得额外的利息。In practice, the forward market is a poor forecaster. Most of the time exchange rates do not adjust to offset the extra yield being targeted in carry trades. So a simple strategy of buying high-