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【出版时间及名称】：2010年1月全球外汇研究报告
【作者】：摩根斯坦利
【文件格式】：PDF
【页数】：33
【目录或简介】：
January 28, 2010
Currencies
FX Pulse
Greenback Attack
Articles in this issue:
USD: Unveiling the MS Dollar Index. We have
developed a less Euro-centric tradable USD index which
we believe is more reflective of general performance. P.4
G10: Risk Appetite Down, But Not Out. Investors
looking for a hedge against risk aversion should consider
long USD. The USD should benefit from stronger US
growth and is resilient during bouts of risk reduction. P.9
EMFX: Upside EM Inflation Risks. Over the mediumterm
horizon, being long EMFX (versus the Majors) and
long Latam against AXJ are compelling trades for hedging
against the potential of rising EM inflation. P.11
ARS: Argentina – High Yielder with Negative Real
Yields? We believe that investors should consider using
ARS NDFs to synthetically pay negative real rates and/or
hedge long Argentine USD bond exposures. P.14
BRL: We Favor Long BRL versus AUD. We favor long
BRL/AUD as it is close to multi-year lows, the technical
positioning is favorable, carry is attractive, the commodity
exposure is mitigated and tail risk is reduced. P.16
KZT: The Case for Tenge Appreciation. A number of
factors point to a greatly improved risk/reward profile for
steady tenge appreciation in 2010. We recommend selling
12-month USD/KZT NDFs. P.18
Strategic Views
Direction: We are bearish on JPY, EUR, AUD, and NZD.
We remain constructive on USD, CAD, NOK, and SEK.
Volatility: Vols broadly rebounded this week but nothing
yet stands out as being a clear sell.
Carry: AUD carry is historically attractive but not high
enough to outweigh our bearish bias.
Correlation: The equity downturn has led to a resurgence
of the SPX correlation across FX space.
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