La bonne santé du carry trade

LONDRES – La Banque des Règlements Internationaux (BRI) a récemment indiqué dans un rapport que les échanges quotidiens sur le Forex s’élevaient à 4000 milliards de dollars, contre 3,3 milliards de dollars en 2007. Mais si le volume des échanges du Forex ne manque pas d’impressionner, la manière dont les devises sont échangées – qui a énormément changé au cours des années – compte également.

Tout ouvrage de vulgarisation financière vous dira que les investisseurs se soucient avant tout du rendement général d’un portefeuille et pas seulement du rendement des actifs individuels qu’il contient. Les investisseurs préfèrent des actifs relativement peu corrélés, ou mieux, négativement corrélés, au rendement du marché dans son ensemble. Détenir de tels actifs tend à stabiliser le rendement général.

Cette approche paraît idéale en théorie, mais d’où proviennent ces actifs ? Certaines valeurs sont en général relativement peu corrélées au marché. Mais les actions ont tendance à fluctuer de manière cohésive dans les périodes de crise du marché. Cette relation a donc toutes les chances de se détériorer au pire moment : lorsqu’une couverture serait le plus utile, l’actif sur lequel on compte devient un risque.

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