Is it as easy as just selling weakest INT rates?

Discussion in 'Forex' started by Algo_Design_Kid, Oct 8, 2014.

  1. Is there any historical data that anyone knows of that will tell you what the highest and lowest interest rate countries are and how buying the highest and selling the lowest would result in?

    Thx
     
  2. doggyfx

    doggyfx

    It is called carry trading. Unfortunately, the pairs that have most significant difference in interest rates (more than 5%) also feature with very unstable price flow (too volatile) and big spreads, what makes profitable carry trading almost impossible. Take for example USD/RUB - 0.25 opposite to 8% interest rates. Spread in my Hotforex account shows 30 pips. Lowest among other brokers but still to dangerous to part in.. Playing with percents and expecting profit in the long run greatly outruns conventional near-term trading in terms of risks.
     
  3. Code:
    DAILY YIELD at market price using 50:1 leverage
    
    Yield Ranking     │ Yield Ranking
    long            % │ short           %
                      │
    WTICO_USD   1.355 │ NATGAS_USD  3.215
    ZAR_JPY     0.707 │ SUGAR_USD   3.124
    DE10YB_EUR  0.560 │ WHEAT_USD   0.620
    SOYBN_USD   0.484 │ CORN_USD    0.616
    USB30Y_USD  0.412 │ BCO_USD     0.438
    NZD_CHF     0.401 │ EUR_NZD     0.358
    NZD_JPY     0.401 │ USD_TRY     0.321
    NZD_USD     0.392 │ EUR_TRY     0.307
    TRY_JPY     0.324 │ GBP_NZD     0.307
    NL25_EUR    0.314 │ CHF_ZAR     0.283
    USB05Y_USD  0.307 │ USD_ZAR     0.279
    NZD_SGD     0.300 │ EUR_ZAR     0.265
    NZD_HKD     0.273 │ GBP_ZAR     0.245
    UK10YB_GBP  0.272 │ EUR_AUD     0.215
    AUD_CHF     0.258 │ USD_INR     0.212
    AUD_JPY     0.258 │ GBP_AUD     0.164
    NZD_CAD     0.252 │ XAU_NZD     0.147
    AUD_USD     0.249 │ USD_MXN     0.144
    AUD_SGD     0.157 │ XAG_NZD     0.136
    US30_USD    0.138 │ USD_NOK     0.120
    EU50_EUR    0.130 │ USD_PLN     0.097
    AUD_HKD     0.130 │ XAU_AUD     0.090
    US2000_USD  0.122 │ USD_HUF     0.089
    AUD_CAD     0.109 │ USD_THB     0.089
    SPX500_USD  0.090 │ EUR_NOK     0.085
    USB10Y_USD  0.082 │ EUR_PLN     0.083
    UK100_GBP   0.082 │ XAG_AUD     0.079
    CAD_CHF     0.081 │ USD_CNH     0.075
    CAD_JPY     0.080 │ EUR_HUF     0.075
    USB02Y_USD  0.077 │ USD_CAD     0.072
    GBP_CHF     0.026 │ GBP_PLN     0.063
    GBP_JPY     0.026 │ EUR_CAD     0.037
    GBP_USD     0.017 │ USD_CNY     0.031
    XCU_USD     0.008 │ XAU_CAD     0.019
    USD_CHF     0.000 │ XAG_CAD     0.008
    USD_JPY     0.000 │ AUD_NZD     0.006
    SGD_CHF    -0.001 │ USD_CZK    -0.001
    
     
  4. Yes. For example though, AUD interest rates are higher than USD, I believe. So, should AUD/USD be going up instead of going down, as of late?
     
  5. Interesting list. Where did you pull this from?
     
  6. eurusdzn

    eurusdzn

    1 week,or less, of currency risk can wipe out a year of carry. At some point you have to close and net both.
    My language may not be right but the concept of the two components is real.
    AUD/USD is a good example of this.
     
  7. Those are calculated from pay rates at Oanda.
     
    Algo_Design_Kid likes this.
  8. Maverick74

    Maverick74

    This is a very complex trade and not one I would just wander into without a ton of quantitative research. The big money on the carry trade is made on the debt, not simply on the swap. The daily volatility in AUD/USD exceeds the annual carry. LOL. You do NOT want to do carry trades in an elevated risk environment like we have now.
     
  9. Makes more sense to short nat gas since the US is trying to make the russian gas worthless. At 3.2% interest a day, you'll be rich in no time.