高盛-新兴市场-宏观策略-不要“忘乎所以”：在新兴市场寻找正确的方向-0201-23页.pdf
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What defines a car
ry trade? EM FX carry trades are becoming more in focus
n
giv
en the continued Fed reprieve and weak USD environment in early 2019.
However, if we consider carry trades to be assets where the yield represents a
high share of total return (i.e. covering mark-to-market risk), EM FX is more a
“risk on” trade compared with the sizeable carry in both US Treasuries and EM
fixed income.
What makes a good carry environment? Low volatility regimes naturally
n
present good car
ry opportunities, and in terms of the economic cycle, carry
trades appear most attractive during periods of modest growth slowdown
(especially when compared with risk trades such as equities).
Finding the Right Carry in EM. We remain convinced that EM local bonds
n
present the best Sharpe ratio f
or 2019 across EM assets
, and, similarly
, we are
bullish certain EM FX pairs. Carry-to-volatility metrics are the most commonly
cited gauges for EM currency opportunities, but we recommend considering
carry-to-value as well.
Attractive carry-to-vol EM FX include PHP and IDR, but we are also positive on
ZAR, BRL, and COP which also have strong value signals (relative to recent
history). These currencies have featured in our Top Trades (ZAR and COP in rates,
IDR in local bonds); and MXN stands out as well on a carry-to-vol and
carry-to-value basis, but we prefer equity exposure there. We are tactically
positive on Brazil and prefer BRL over other assets there.
Caesar Maasry
+1(21
2)902-8763 |
caesar.maasry@gs.com
Goldman Sachs & Co. LLC
Ron Gray
+1(21
2)357-6762 | ron.gray@gs.com
Goldman Sachs & Co. LLC
EM Strategy Views
Let’
s not get “Carried Away”: Finding the Right Carry in
EM
1 February 2019 | 12:01AM EST
In
vestors should consider this report as only a single factor in making their investment decision. For Reg AC
certification and other important disclosures, see the Disclosure Appendix, or go to
www.gs.com/research/hedge.html
.
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