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EM通貨について深く掘り下げており、基本的な金利差を超えたキャリートレードのニュアンスを理解しようとしています。低金利通貨で借り入れ、高金利通貨に投資するという考え方は理解できますが、経験豊富なトレーダーの皆さんは、$TRYUSDや$ZARJPYのような特定のEMペアのボラティリティや流動性のリスクを、これらのトレードを構築したりサイズを決めたりする際にどのように考慮していますか？これらの要因は、適切に管理しないと、キャリーの利点を簡単に帳消しにしてしまうように思えます。皆さんのアプローチを教えてください。
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.
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?
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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