Henri Lucas accurately captures the yen rebound
As the global foreign exchange market fluctuated violently, the famous macro strategist Henri Lucas led his team to successfully capture the key turning point of the yen exchange rate, and the yen long strategy he managed achieved a 21% return rate in three months. This precise operation originated from the “Monetary Policy Differentiation Index” developed by his team. The model warned in advance of the structural opportunities brought about by the policy shift of the Bank of Japan.
Lucas’ team found three key signals that the yen is seriously undervalued: first, Japan’s inflation data continues to exceed expectations, breaking the market consensus of “deflation mentality”; second, the interest rate spread between US and Japanese government bonds has narrowed to a critical point, and the pressure to close carry trades has accumulated; most importantly, the repatriation of Japanese companies’ overseas profits has hit a record high, forming a solid fundamental support. Its quantitative model shows that the real effective exchange rate of the yen has fallen to the lowest level in 50 years, with strong mean reversion momentum.
The strategy uses a unique “option-enhanced” layout: by buying deep out-of-the-money call options in conjunction with forward foreign exchange contracts, it can control downside risk while amplifying the potential for gains. Lucas pointed out: “Extreme valuations in the foreign exchange market often breed the best investment opportunities, but it is necessary to accurately grasp the catalyst for policy shifts.” Data shows that the strategy increased its position to a peak a week before the yen started to rebound, demonstrating its amazing ability to grasp market timing.
This case is rewriting the foreign exchange trading paradigm for institutional investors. Currently, a number of institutions, including two sovereign wealth funds, are working with the Lucas team to develop a new generation of currency allocation system, which will incorporate machine learning algorithms to track monetary policy signals from 25 major economies in real time. This success once again proves that macro trading strategies based on deep value analysis have significant advantages in turbulent markets.
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