Kvaziobligatsii of currency


If our goal - to get income from interest payments on the swap, very good that we managed to neutralize the risk of exchange rate fluctuations and the resulting rehedzhirovaniya zero result. Accordingly, interest income level output strategy successful, providing $ 2,250 in profit for every $ 90,000 of seed capital used to create the currency position.

Yield, similar to the payment of interest

What is the relative profitability of the investigated transactions? Clear answer to this question is difficult, because at different brokers margin varies. A rough estimate - the yield ranges from -20% to +90% per annum (if we trade FOREX 100000th contract, with $ 1,000), and is determined by the selected method is risk management. Successful transactions confidently yield may reach 20-75% per annum. The scatter is large enough. Much, if not all, depends on the correct choice of tools covering the risks, as well as management positions.

The stated goal at the outset was to identify opportunities to eliminate price risk to safely receive interest income from the differential rates. We have achieved this goal. Naturally, simple methods have the lowest incomes, sophisticated techniques provide increased profitability comparable to normal operations with derivatives, with the active risk management. Please note: this is not a commonly used limits when leaving the losers, because there are all too intuitive.

Abstracting from the speculative strategy, which has in its composition FOREX-position and a set of tools covering the risk, we find: it provides regular incoming cash flow, which resembles the interest payments on the bonds. The difference is that here the coupons are redeemed daily. Since price risk generally eliminated, the price behavior of synthetic instrument that includes the spot position and the tools to cover the risk, similar to a bond reduced in price as payment coupons.

If you do not have recourse to the neutralization of price risk, you can expect: GBP / JPY will fall exactly on the amount of interest payments. This tendency is quite clear, if not pay attention to speculative fluctuations.

Figure illustrates well the behavior of the strategy used to cover the risk of futures contracts on the yen and the pound. Since our goal - to get the maximum dollar profit, created synthetics presented in dollar terms for the appropriate courses. Of course, if the broker does not charge interest on the swap, the strategy is unprofitable. By the way, in this case the opposite positions on all components could provide a positive result when playing on exchange rate fluctuations.

Maximization of capital - a new approach

Is there another way to limit the risk? Yes, it exists, but we partially lose the opportunity to gain a differential rate between the pound and the yen. At the core of risk management, where only two tools that correlate with each other, due to the need to eliminate the risk of using the opposite direction of the position, the amount of which is calculated as the product of the correlation coefficient for private standard deviations used assets. [4] This principle works quite well in the futures markets.