Crash and carry 风险与收益.doc

Crash and carry 风险与收益Dec 10th 2009From The Economist print editionNew 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 Japans 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-yielding currencies against low-yielding ones can be rewarding for those that pursue it. The profits are volatile, however, and carry trades are prone to infrequent but huge losses. In late 2008 the yen rose by 60% in just two months against the high-yielding Australian dollar, a popular target for carry traders. That made it much more expensive to pay back yen-denominated debt.从实践上来讲，远期交易市场是差劲的预报员。在大多数套利交易中，利率不会调整并抵消额外的收益。因此购买高收益货币，抛出低收益货币的简单策略可以让套利者获得收益。但是这样的利润是不稳定的，套利交易容易发生不多但巨大的损失。在2008年晚些时候，仅仅两个月内日元相对高收益的澳元就上涨了60%，澳元是套利交易者较受欢迎的目标货币。这使得以日元偿还债务昂贵不少。If efficient-market theory cannot kill the carry trade, why dont volatile returns, and the occasional massive loss, scare off investors? A new paper* by scar Jord and Alan Taylor of the University of California, Davis, may have the answer. They find that a refined carry-trade strategyone that incorporates a measure of long-term valueproduces more consistent profits and is less prone to huge losses than one that targets the highest yield.如果有效市场的理论不能杜绝套利交易，为何不稳定的回报以及不定期的巨额损失没有能够吓倒投资者呢？一项由加利福尼亚大学的scar Jord 和 Alan Taylor发表的新研究报告可能会回答这个问题。他们发现精确的套利交易策略包含对长期价值的衡量可以产生更多稳定的利润并且相比高收益目标很少会发生巨大损失。The authors first examine returns to a simple carry trade for a set of ten rich-country currencies between 1986 and 2008. Buying the highest yielder of any currency pair produced an average return of 26 basis points (hundredths of a percentage point) per month. That would be fine, except that the standard deviation of returns, a gauge of how variable profits are, was almost 300 basis points. The monthly Sharpe ratio that measures returns against risk was a “truly awful” 0.1 (the higher the ratio, the better the risk-adjusted performance). Worse still, the distribution of monthly profits was negatively skewed: big losses were more likely to occur than windfall gains.作者首先对简单套利交易的回报做了测试，这个测试是基于1986年到2008年间10个富裕国家的货币进行的。购买任何高收益货币组合会获得平均每月26个基本点（百分比）的回报。好消息是除去回报的标准差（这是一个衡量利润变动幅度的指标）基本上有300个基本点的回报。每月的夏普指数为（衡量风险报酬的指标）“真实可怕”的0.1（指数越高，风险调整表现就约好）。坏消息是月利润的分配被扭曲了：巨额损失比额外收入更容易发生。No sane trader would follow a rule with such poor results. So the authors put together a far richer model to help decide which side of a currency trade to be on. It included things that are most likely to influence short-term movements in currencies, such as the change in the exchange rate over the previous month, as well as the size of the interest-rate and inflation gap between each currency. They found that all three factors mattered. Currencies that rose in one month tended to rise in the next month. Those with the highest interest rates went up most, as did currencies with high inflation (which drives expectations of further rate rises).没有一个理性的交易者会遵循这样一条可怜的结论。因此作者将更丰富的模型组合在一起来帮助决定哪一方的货币交易应该被保留。这包括影响短期货币波动（比如这几个月汇率的波动）的因素以及利率规模和各种货币的通胀缺口。研究者发现以上三个因素都会产生影响。在这个月上涨的汇率更容易在下个月内保持上涨。高通胀，高利率货币上涨的很快（这是受到未来利率上升预期的影响）。These impulses can drive exchange rates a long way from their fair or “equilibrium” values. That creates the risk of a sudden reversion that could wipe out earlier profits. To guard against this, the authors added to their model a measure of how far the exchange rate has shifted from its fair value. They found that this alarm bell can sometimes turn a “buy” signal into a “sell”.这种冲击驱使汇率偏离其公平或均衡价值很远。这就产生了突然回购的风险。这种风险会完全冲抵最初的利润。为了防止这样的情况出现，作者增加了衡量汇率偏离其真实价值范围的方法。他们发现，这样的警告信号通常会将买入信号变为卖出信号。This valuation check helped get rid of the negative skew associated with the simplistic version of the carry trade. But the authors thought the model could be improved still further. One worry was that although it makes sense for traders to buy currencies with fat yields, it may be dangerous past a certain point. After all, a high interest rate can be a symptom of a currency in distress. The authors judged that the link between profits and yields was likely to be “non-linear” (ie, its strength alters as the interest rate of the target currency climbs) and changed their model to reflect this. This non-linearity applies to currencies values, too: the likelihood of a crash escalates as a currency becomes ever dearer.这样的价值评估可以在套利交易中避免简单模型的扭曲。但是作者认为这样的模型仍需做进一步的改善。一个担忧是这样的：尽管交易者购买较大收益的货币是符合逻辑的，但是超过某一程度后也是危险的。总之，高利率是货币处在困境中的一个征兆。作者判断，收益和投资效益的联系是“非线性的”（比如当目标货币的利率爬升时，这是强烈的信号）并且他们的反应模式也被改变了。这种非线性也适合于货币的价值：崩盘的可能性随着攀升的通货变得不太可能了。Sharpe thinkingThe fully evolved model performed well compared with its primitive ancestor. Used in a portfolio of separate carry trades (to limit the volatility that comes with making a single bet), it delivered average monthly returns of 57 basis points, much better than the 26 basis-points profit from the simple approach. The Sharpe ratio based on annual returns was a very healthy 1.27. And returns based on the deluxe model had a positive skew: large windfalls were more likely than big losses. It appears that savvy investors can indeed make sustained profits from the carry trade.夏普指数的思考与以前相比，改进后的模型运作更为良好。在套利交易的投资组合中使用该模型（控制单一品种的波动性），使得平均月利率恢复到了57个基本点，明显好于简单模型的26个基本点。基于年回报的夏普指数高达1.27。基于复杂模型的回报毋容置疑是被扭曲了：巨大的额外收入多于巨大损失。这表明理智的投资者确实从套利交易中获得了稳定的利润。The authors stress that their sophisticated approach was scarcely better than the simple one at predicting the direction of exchange rates. The crucial advantage is that wher