Yen Carry Trade Unwind
In plain terms
Yen jumps + VIX>25 → leveraged carry unwinds → short EM/small-cap 5-10d.
How it works
JPY funds carry into AUD/NZD/EM. JPY appreciation + VIX>25 → carry unwind → small-cap/EM sell-off.
Data dependencies
- Fred macro
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- -3% to -8% over 5-10d
- Tested over
- 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.
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Explore Yen Carry Trade Unwind on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.