yen carry trade unwind
What it checks
Yen jumps + VIX>25 → leveraged carry unwinds → short EM/small-cap 5-10d.
Mechanism
JPY funds carry into AUD/NZD/EM. JPY appreciation + VIX>25 → carry unwind → small-cap/EM sell-off.
Signal rule
DEXJPUS 60d-z of pct change (sign-flipped for JPY appreciation) > +1 AND VIX > 25 → short EM/small-cap; hold 3/5/10d
Data dependencies
fred_macroWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- -3% to -8% over 5-10d
- Paper window
- 1986-2006
Brunnermeier-Nagel-Pedersen 2008: -3% to -8% over 5-10d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
credit spread shockMacroGilchrist-Zakrajsek 2012 AER show the excess-bond-premium component of credit spreads predicts equity returns at 1-3mo horizons with R² up to 12%. We use raw BAA-10Y (Moody's BAA corp minus 10Y Treasury) from FRED as the cheap proxy. Widening shock = risk-off pressure (short high-beta names with downtrend); sharp compression = risk-on regime (long beta names with uptrend).
usd factor betasMacroBeta of stock returns on DXY (USD trade-weighted index); long high-USD-beta on USD strength regime.
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