黑色星期一的罪魁祸首 Carry Trade 你知多少？

黑色星期一（5/8/2024）后的这几天，各种财经媒体开始评论这次的黑天鹅事件的起因。我注意到传统财经媒体似乎都把矛头指向 Carry Trade （译为：套利交易）这种交易方式。

从The Edge 摘来的一段分析：

Instead, the answer likely lies in a further sharp position unwind of carry trades, where investors have borrowed money from economies with low interest rates such as Japan or Switzerland, to fund investments in higher-yielding assets elsewhere.

They have been caught out as the Japanese yen has rallied by more than 11% against the dollar from 38-year lows hit just a month ago.

"In our assessment a lot of this (market sell-off) has been down to position capitulation as a number of macro funds have been caught the wrong way around on a trade, and stops have been triggered, initially starting with FX and the Japanese yen," said Mark Dowding, chief investment officer at BlueBay Asset Management, referring to pre-determined levels that trigger buying or selling.

什么是 Carry Trade 呢？

A carry trade is a trading strategy that involves borrowing at a low-interest rate and investing in an asset that provides a higher rate of return. A carry trade is typically based on borrowing in a low-interest rate currency and converting the borrowed amount into another currency. Generally, the proceeds would be deposited in the second currency if it offers a higher interest rate. The proceeds also could be deployed into assets such as stocks, commodities, bonds, or real estate that are denominated in the second currency.

• The risk of a sharp decline in the price of the invested assets
• The implicit exchange risk, or currency risk, when the funding currency differs from the borrower’s domestic currency

如果以上的术语解释，我们这些普通人不明白，是情有可原的。没有关系。这里就举出我们个人在生活上会遇到的例子：

你是否曾受到诱惑，为了投资于收益率更高的资产，而接受信用卡发行商提供的有限期的 0% 现金透支？这种策略就是“套利交易”的诱惑。

许多信用卡发行商以六个月到一年不等的 0% 利息诱惑消费者，但他们要求消费者预付统一的 1% "交易费"。以 1%作为预支 10,000 美元现金的资金成本，假设投资者将这笔借款投资于利率为 3%的一年期存单（CD）。这样的套利交易将带来 200 美元（10,000 美元 x [3%-1%]）或 2% 的利润。尽管利差交易可能带来潜在的财务回报，但这种策略也可能带来巨大的风险。

现在你明白什么是 Carry Trade 了吗？明白了为什么会发生黑色星期一了吗？