THEGLOBALFXMONTHLYANALYST:LOWVOLATILITYIDIOSYNCRATICFXMOVESANDTHEFISCALCLIFF1114.ppt
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1、,November 9,2012The Global FX Monthly AnalystEconomics ResearchLow Volatility,Idiosyncratic FX Moves and the Fiscal CliffThomas Stolper,FX market volatility has declined further and now stands at levels lastseen during the peak of pre-crisis FX carry trading.A disruptive fiscal cliff scenario in the
2、 US is now the main risk thatcould push FX volatility higher.The US debt ceiling debate anddowngrade in mid-2011 contributed to a trade-weighted USD rally ofabout 7%.Should FX volatility remain at the current very low levels,idiosyncraticfactors will likely become more visible.The recent divergence
3、betweenthe INR and ZAR,historically two correlated currencies,is a goodexample.We review a number of currencies that have displayed interestingmoves recently to see if these can continue or if they are likely to revert.We distinguish between directional views,currencies where we see a,+44(20)7774-51
4、83 Goldman Sachs InternationalRobin Brooks(212)902-8763 Goldman,Sachs&Co.Themistoklis Fiotakis+44(20)7552-2901 Goldman,Sachs&Co.Fiona Lake+852-2978-6088 Goldman Sachs(Asia)L.L.C.,notable skew in risks and non-stories where the market may bedisappointed relative to expectations.George Cole+44(20)7552
5、-3779,Average FX volatility has declined further and is now at levels only seen,Goldman Sachs International,very briefly before the global financial crisis.The impact on individualcurrencies of swings in global risk sentiment is becoming smaller andinvestors tend to focus more on idiosyncratic moves
6、 as a strategy togenerate returns.In that context,we review some of the most interestingcountry-specific stories in FX,which we broadly classify into directionalviews:currencies where we see a notable skew in risks and non-storieswhere the market may be disappointed relative to expectations.Beyondth
7、e focus on idiosyncratic moves,it is also important to monitor risks thatcould potentially lead to a sudden rise in FX market volatility.We havediscussed these risks in the past and continue to focus on the US fiscalcliff as a potential source of temporary risk aversion.Investors should consider thi
8、s report as only a single factor in making their investment decision.For Reg AC certificationand other important disclosures,see the Disclosure Appendix,or go to,The Goldman Sachs Group,Inc.,Goldman Sachs,3,4,24,55,56,59,65,66,67,68,69,70,71,2,November 9,2012ContentsRecommended FX Trade IdeasRisk Sc
9、enarios and Idiosyncratic FX MovesG3US DollarEuroJapanese YenEurope,Middle East&AfricaBritish PoundCzech KorunaHungarian ForintIsraeli ShekelNorwegian KronerPolish ZlotyRussian RubleSouth African RandSwedish KronaSwiss FrancTurkish LiraAmericasArgentine PesoBrazilian RealCanadian DollarChilean PesoC
10、olombian PesoMexican PesoPeruvian New SolVenezuelan BolivarAsiaAustralian DollarChinese YuanHong Kong DollarIndian RupeeIndonesian RupiahKorean WonMalaysian RinggitNew Zealand DollarPhilippine PesoSingapore DollarTaiwan DollarThai BahtInterest Rate ForecastsGS Sentiment Index(IMM)FX CurrentsGS Trade
11、-Weighted IndicesGS Anecdotal FlowsM&A PipelinesGSDEERKey Economic DataGDP Growth(%ch yoy)Consumer Prices(%ch yoy)Current Account Balance(%of GDP)Foreign Exchange Reserves(US$bn)Government Debt as%of GDPPolicy Rate ForecastsExchange Rate ForecastsEuro CrossesDollar CrossesDisclosure AppendixGoldman
12、Sachs Global Economics,Commodities and Strategy Research,The Global FX Monthly Analyst181820222425262728293031323334353536373839404142434344454647484950515253545761616365717273,6,5,3,November 9,2012Recommended FX Trade IdeasOur Recommended Top Trades for 2012,The Global FX Monthly Analyst,Trade1.Clo
13、se protection on the iTraxx Europe Xover Index2.Close short 10-yr German Bunds3.Close long EUR/CHF4.Close long S&P TSX vs Nikkei,FX unhedged5.Long CNY,MYR vs GBP,USD6.Close long July 2012 ICE Brent Crude Oil Futures,Opened30-Nov-1130-Nov-1130-Nov-1130-Nov-1130-Nov-1130-Nov-11,At7592.281.226100100107
14、.80,Now Atn/an/an/an/a101.5n/a,Potential Gain-3.4%-3.5%-1.7%4.70%1.50%11.6%,Tactical FX Trade Performance 2012,Number,Cum Return,Avg Return,Avg Duration,All TradesProfitableLoss-Making,11,6.7%16.9%-10.2%,0.61%2.81%-2.04%,27 days33 days20 days,Recent Tactical FX Recommendations,Description,Day,Open,T
15、ime,Day,Close,Time,Open Quote,Close Quote,PotentialReturn,LongShortShortShortLongLong,EURUSDUSDMXNAUDBasket(NZD,RUB,SEK,KRW,MYR,CLP),USDMYR(expiry 29Mar12)PHP(expiry 04Apr12)CLPJPYUSD,18-Mar-1131-Mar-1107-Apr-1106-Jun-1129-Jun-1110-Aug-11,10:0601:5805:5712:2209:0314:20,23-Sep-1104-Aug-1104-Aug-1110-
16、Aug-1118-Jul-1114-Sep-11,17:0021:3621:3617:0917:0017:00,1.40853.066043.130039.970385.7802100.0000,1.35173.027042.730038.270083.574997.7400,-4.03%1.29%0.94%4.44%-2.57%-2.26%,Short USD,EURShort AUD,SGD,MYRJPY,18-Oct-1131-Oct-11,00:1116:02,01-Jan-1202-Nov-11,00:0016:34,100.000082.7092,99.000080.7573,1.
17、01%2.42%,LongShortShortShortLongShortShortShortShortLongLongLong,RUBUSD,EURUSDUSDEURGBPTRYUSDGBPNZDEUREUR,HUFSGD,MYRMXNCADUSDNOKBRLJPYNOKUSDUSDCAD,09-Nov-1101-Jan-1225-Jan-1225-Jan-1225-Jan-1222-Feb-1219-Mar-1222-Mar-1215-Jun-1218-Jun-1202-Aug-1222-Oct-12,11:1600:0020:1720:1719:4318:1512:2414:1912:5
18、201:2317:5522:02,06-Dec-1118-Jan-1215-Feb-1210-Feb-1215-Feb-1214-Mar-1217-Apr-1206-Jun-1216-Jul-1221-Jun-1219-Sep-1207-Nov-12,17:0012:3613:3517:0013:3515:2916:4214:0417:0019:5411:3017:00,7.420099.000013.03001.00561.30598.86961.000082.89009.33190.79061.21531.2959,7.155097.170212.73871.00161.30869.120
19、81.033678.98009.52150.78771.30211.2722,-3.57%1.88%2.29%0.40%0.21%-2.75%-3.25%4.95%-1.99%-0.37%7.14%-1.83%,Source:Goldman Sachs Global ECS ResearchPlease see our Global Markets Daily and Trade Updates for changes in these live trading strategies,as they changein line with market developments and our
20、views.Goldman Sachs Global Economics,Commodities and Strategy Research,4,November 9,2012,The Global FX Monthly Analyst,Risk Scenarios and Idiosyncratic FX MovesAverage FX volatility has declined further and is now at levels only seen very briefly beforethe global financial crisis.The impact on indiv
21、idual currencies of swings in global risksentiment is becoming smaller and investors tend to focus more on idiosyncratic moves asa strategy to generate returns.In that context,we review some of the most interestingcountry-specific stories in FX,which we broadly classify into directional views:curren
22、cieswhere we see a notable skew in risks and non-stories where the market may bedisappointed relative to expectations.Beyond the focus on idiosyncratic moves,it is alsoimportant to monitor risks that could potentially lead to a sudden rise in FX marketvolatility.We have discussed these risks in the
23、past and continue to focus on the US fiscalcliff as a potential source of temporary risk aversion.1.Volatility at New Post-Crisis LowsVolatility continues to decline in FX markets and has now reached levels that have not beenseen since the heyday of FX carry(and vol selling)in the years preceding th
24、e globalfinancial crisis(GFC).Our transaction-volume-weighted GX FX Volatility Index over a three-month window currently stands at 6.6%realised and 7.4%implied.Lower average levels ofvolatility have only been seen from mid-2006 to mid-2007.Exhibit 1:Real and Implied FX Volatility*Remain Low,30252015
25、1050,Realized VolatilityImplied Volatility,2000,2001,2002,2003,2004,2005,2006,2007,2008,2009,2010,2011,2012,*Transaction volume weighted average 3-month volatility across the most liquid G10 and EM exchange rates.Source:GS Global ECS Research,Bank for International Settlements(BIS)To some extent the
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