Pares de moedas EM e implicações do carry trade

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Tenho me aprofundado nas moedas EM, especificamente tentando entender as nuances dos carry trades além da diferença básica de taxas de juros. Entendo a ideia de pegar emprestado em uma moeda de baixo rendimento e investir em uma de alto rendimento, mas como os traders experientes aqui consideram os riscos de volatilidade e liquidez de pares EM específicos como $TRYUSD ou $ZARJPY ao construir ou dimensionar essas operações? Parece que esses fatores poderiam facilmente anular qualquer vantagem de carry se não forem gerenciados corretamente. Qual é a sua abordagem?

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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