Carry Trade Returns, With Risks

融资套利交易正卷土重来，不过已经改头换面。原先的融资套利交易是一种相对可预测的交易方式。它意味着借入日圆等低利率货币，然后转存入澳元等稳定高收益率货币，以轻松获取回报。这一交易策略的成功关键是投资者认为日圆和澳元等货币会以相对可预测的方式运行。如今，寻求通过利差获利的投资者已经将目光转向了印尼盾巴西雷亚尔甚至俄罗斯卢布等风险更高的头寸。日圆和美元等货币的融资成本目前已经更加低廉。两国的利率水平都接近于零，而且两国央行似乎打算通过大举印钞带领经济走出衰退。现在手持资金的投资者有着丰富的选择，投资对象国的利率水平从印尼的7.5%到俄罗斯的13%不等。与此同时，恐惧心理也在逐步消退：股市正在回升，新兴市场货币正逐步走高。融资套利交易昔日全盛时期的成功在很大程度上依赖于投资者能够用来放大回报的巨大杠杆。而在如今的金融辞典中，杠杆已经成为了最为人们避忌的词汇。尽管新的融资套利交易可能杠杆比例较低，但风险程度却是有过之而无不及。新的融资套利交易更容易遭受风险偏好迅速转向的冲击，正如2008年全球普遍出现的那种情况，但这在新兴市场出现的更为频繁。大举涌入印尼盾的投资者已经推动印尼盾兑美元过去一个月上涨了将近12%，印尼大选相安无事也给他们带来了回报，这只会提振投资资金继续涌入该国。小心驶得万年船，挑选投资货币还须谨慎。David Roman相关阅读日圆：避险天堂今安在？ 2009-02-26


The carry trade is making a comeback, but in a new form.The old carry trade was a relatively predictable creature. It meant borrowing funds in low-interest-rate currencies like the Japanese yen, and depositing them into stable high-yield currencies like the Australian dollar -- for easy returns.Critical to the strategy's success was the notion that currencies like the yen and Australian dollar would trade in relatively foreseeable ways.Now, investors looking to profit from differences in interest rates have turned to the Indonesian rupiah, the Brazilian real, or even the Russian ruble -- far riskier propositions.Funding currencies like the yen and the dollar are cheaper than ever. Interest rates in both countries are close to zero, with their central banks seemingly intent on printing money to escape recession.Investors with funds in hand have plenty of options, with rates from 7.5% in Indonesia to 13% in Russia. Fear, meanwhile, is receding: Stocks are up and emerging-market currencies are ticking higher.Much of the carry trade's success in its heyday rested on the enormous leverage that investors could deploy to magnify returns. Leverage is now the dirtiest word in the financial lexicon.While the new carry trade may be less leveraged, it's a riskier bet. It's more vulnerable to the swift unraveling of risk appetite observed across all nations and in 2008, but which occurs more frequently in emerging markets.Investors turning to the Indonesian rupiah have driven the currency nearly 12% higher against the dollar in the past month and been rewarded by an event-free national election that will only bolster investment flows.It pays to pick your currency carefully.David Roman