Back in the pre crisis era (before negative real rates) hardly a day went by when the carry trade wasn't mentioned in some form or another. If the carry boys are still around they must be enjoying the BOJ policy. For example, AUD up 17% versus yen plus a 3% rate kicker, without leverage. It is roughly the same for NZD. I was told they never hedge the currency risk and put on at maximum leverage so returns could be many multiples higher, but I may be misinformed on that part.

Anatoly Veltman writes: 

Of course, a funny BOJ announcement comes out right after your query– which may pretty soon invert the carry trade! Yen may soon become the highest yielding G-7 currency.





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2 Comments so far

  1. Andre Wallin on April 5, 2013 10:56 am

    Creating histograms from tick data for the emini is useful.

    Get python and all related matplotlib updates from Enthought.

    Then get tick data. For TradeStation this is easy as you can get an export to csv indicator for any chart.

    The tick data saves to a csv file within tradestation. You then delete the columns except the close column and save this file to your desktop. I use ‘esm13.csv’.

    Use the following code:
    import numpy as np
    import pandas as pd
    fig = plt.figure()
    ax1 = fig.add_subplot(111)
    close = pd.read_csv(’esm13.csv’)
    n, bins, patches = ax1.hist(close_hist, bins=50, facecolor=’green’)

  2. Craig Bowles on April 6, 2013 8:16 am

    Tom McClellan’s weekly posting is worth checking out each weekend and this one on liquidity is interesting.



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