Stupid Carry Trade Analysis Tricks

Greg Newton submits: Great 2007 Quant Meltdown Memorial Edition It’s been a while since the phrase “carry trade” has been bandied about in polite society, so NakedShorts thought that he’d take his just-enough-math-to-be dangerous and mark the more-or-less anniversary of the Great 2007 Quant Meltdown with a little figurin’. Yowzah! Using the daily percentage moves in SPY as a proxy for the US stock market, and in FXY, the Japanese currency ETF that now has almost $1 billion in assets as a proxy for the yen, over the not quite 12 months from Aug. 6 2007 to Aug. 1 2008 (a date range selected on the very scientific principle that it’s all Google Finance would allow me to download without a major fist fight):Complete Story »