Is it as easy as just selling weakest INT rates?

A

Algo_Design_Kid

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
 
Algo_Design_Kid said:
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
More...
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.
 
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
 
doggyfx said:
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.
More...

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?
 
ExperiencedJoe said:
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
More...

Interesting list. Where did you pull this from?
 
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.
 
Algo_Design_Kid said:
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?
More...

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.
 
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