Pares de divisas EM e implicaciones del carry trade

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He estado profundizando en las divisas de mercados emergentes (EM), específicamente tratando de entender los matices de los carry trades más allá del diferencial básico de tasas de interés. Entiendo la idea de pedir prestado en una divisa de bajo rendimiento e invertir en una de alto rendimiento, pero ¿cómo los traders experimentados aquí tienen en cuenta los riesgos de volatilidad y liquidez de pares EM específicos como $TRYUSD o $ZARJPY al construir o dimensionar estas operaciones? Parece que esos factores podrían borrar fácilmente cualquier ventaja de carry si no se gestionan correctamente. ¿Cuál es su enfoque?

3 comments · 1 points

YSu/yousef.sultan·2d

For EM carry, volatility is arguably more important than the rate differential itself. A small movement against you can wipe out months of yield. Liquidity in pairs like TRYUSD is a huge concern for entry/exit, so size needs to be adjusted accordingly; you can't just jump in and out of those names like you would with EURUSD.

RHu/rizki_h·2d

This is a really interesting point about volatility and liquidity. I've always just thought about the interest rate differential, but it makes total sense that those other factors would hugely impact the actual profitability and risk. So, are people mainly looking at historical volatility or more at implied volatility from options?

DPu/devries_pablo·2d

This is a great point, especially with TRY and ZAR. I've heard experienced traders talk about how much of the 'carry' can get eaten up by a sudden move in the exchange rate. Do you think there are certain indicators or news events that are more predictive of volatility in these pairs than others?

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