The Economic Crisis & Foreign Exchange Trading. Philip Brittan Bloomberg LP
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1 The Economic Crisis & Foreign Exchange Trading Philip Brittan Bloomberg LP
2 U.S. Economy May Be Heading for Longest and Most Severe Economic Downturn in the post-war Period Number of Months in Recession Feb '45 Nov '48 Jul '53 Aug '57 Apr '60 Dec '69 Nov '73 Jan '80 Jul '81 Jul '90 Mar '01 Dec '07 Recession Beginning
3 U.S. Unemployment Rate % % % % 2010 Forecast 6.1 % % 2003
4 Not Your Typical Business Cycle Real GDP Recession Expansion Recession Current Economic Downturn Time
5 ECRI Leading Economic Indicator of U.S. Economic Growth Recession Recession Recession Worldwide Recession Financial Crisis
6 Bloomberg s Financial Conditions Index 2 SD 4 SD Russia, LTCM Sept 11, SD!!!
7 Constructing a Financial Conditions Index Bloomberg's U.S. Financial Conditions Index Components and Weights Money Market Weight Ted Spread 11.1% Commerical Paper/T-Bill Spread 11.1% Libor-OIS Spread 11.1% Bond Market 33.3% Investment-Grade Corporate/Treasury Spread 6.7% Muni/Treasury Spread 6.7% Swaps/Treasury Spread 6.7% High Yield/Treasury Spread 6.7% Agency/Treasury Spread 6.7% Equity Market 33.3% S&P 500 Share Prices 16.7% VIX Index 16.7% 33.3% Total 100%
8 Bloomberg s Financial Conditions Index vs Bank Lending Conditions (Index) Financial Conditions Index Bank Lending Conditions U.S. Banks Willingness to Lend U.S. Financial Conditions (smoothed) Composite of Fed Senior Loan Officer Survey
9 U.S. Bank Lending Conditions and U.S. GDP Growth U.S. Bank Willingness to Loan (Index) Bank Lending Conditions U.S. Real GDP Growth (qoq % saar) U.S. GDP Growth U.S. Banks Willingness to Lend U.S. GDP Growth (smoothed) Source: Bloomberg
10 Federal Reserve Policy Response to the Financial Crisis
11 Quantitative Easing U.S. Monetary Base since 2000
12 U-Shaped Downturn?
13 Extracting Alpha from FX
14 Long-Term Cycles in Exchange Rates Currency s Value Currency Overshoot Fundamentally Driven, Medium-Term Exchange-Rate Cycles Long-Run Equilibrium Path Economic Fundamentals Time
15 USD PPP Over-/Under-Valuation
16 Testing the Information Content of PPP Rank the G10 Currencies by PPP Long 3 most undervalued Short 3 most overvalued Test condition: currency must be over/under by a given % Test CPI and PPI Inflation Measures
17 PPP PPI Results with Over/Under Entry % Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 G10 PPI +/- G10 PPI +/-.05
18 PPP G10 PPI and CPI Dynamic Basket Trades with 0 and 5% Over/Under Entry Points Results for 1-Jan-99 to 31-Dec-08 Backtest Total Return Annual Return Volatility Sharpe Ratio G10 PPI +/- 21.1% 2.1% 8.1% G10 PPI +/ % 4.2% 8.6%.4855 G10 CPI +/- 33.1% 3.4% 7.5%.4498 G10 CPI +/ % 3.9% 7.8%.5067
19 FX Analyst Forecasts
20 G10 Forecast Currency Strategies Check FXFC Forecast for the end of quarter at the start of each quarter Long currencies forecasted to appreciate Short currencies forecasted to depreciate No Stops: Hold position until the end of each quarter
21 WCRS Forecasted Total Return
22 USDCHF Forecast Strategy Return Index with Spot Results for 3-Apr-06 to 15-Dec-08 Backtest (Spot Return) Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct CHF Forecast Index USDCHF
23 G10 Bloomberg Forecast Return Strategies Results for 3-Apr-06 to 15-Dec-08 Backtest (Spot Returns) Annual Return Volatility Info Ratio AUDUSD 6.4% 18.0% USDCAD 5.8% 11.5% USDCHF 8.9% 10.2% USDDKK 0.6% 9.5% EURUSD 2.8% 9.5% GBPUSD 15.4% 9.8% USDJPY -2.1% 11.9% USDNOK 3.0% 13.3% NZDUSD 8.0% 15.9% USDSEK 7.0% 12.4% Portfolio 5.6% 6.3%
24 The Great Carry Trade Unwind
25 Carry Trade Problems Carry Trades exhibit long-term positive return Subject to periods of significant drawdown Drawdowns occur during periods of risk aversion and increased market volatility
26 Classic Carry Trade vs DOW Long: AUD, NZD Short: JPY, CHF
27 Term Structure of Implied Vol
28 AUDUSD Carry Return and 1M/1Y Implied Vol
29 Market Condition Implied Volatility Signal During normal conditions vols curves upward sloping Elevated vol levels create uncertainty in short term, curve inverts Use 1M/1Y implied vol ratio as a risk indicator Short carry trade when ratio crosses a threshold
30 G10 Forward Rate Bias w/ and w/o Vol Signal Backtest from 01-Jan-1999 until 16-Mar-2009
31 G10 Forward Rate Bias w/ and w/o Vol Signal Backtest from 01-Jan-1999 until 16-Mar-2009 Annualized Return Annualized Volatility Sharpe Ratio G10 FRB 3.1% 9.16% G10 FRB w/ Vol Mod 10.1% 9.14%
32 Current Account Trade
33 Current Account over 3 Years
34 So What About the Dollar?
35 Long-Term Swings in the USD 5-Year Upswing 7-Year Downswing 10-Year Downswing 7-Year Upswing 6-Year Downswing
36 Beginning of New USD Upswing?
37 PPP Fair Value of USD
38 FX Options Market Sentiment
39 Risk Aversion and the USD $1 trillion in bailouts. USD negative after all Lehman bankruptcy. Merrill & BOA. Flight to quality? Fannie & Freddie USD positive?? $85 billion AIG bailout. Who s next?
40 EUR, JPY, GBP Forecasts vs USD
41 Forecast of USD Major Currency Index U.S. Dollar Major Currency Index Analyst-Implied Forecasts
42 Forecasts of US and Euro Real GDP Growth
43 Dramatically Improving US Trade Balance
44 Improving US Current Account
45 Two Scenarios for the Dollar Flight to Quality: Risk aversion remains high, improving US current account makes USD a safe haven in a turbulent world Return to Normalcy: Risk aversion lowers, zero interest rates and quantitative easing make USD less attractive
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