Sharpe Ratio Shows China’s Yuan Is Best Asian Carry Trade
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A gauge of the yuan’s risks and rewards shows it is the most attractive carry trade in Asia, spurring demand for Dim Sum bonds as exports rebound.
The yuan’s Sharpe ratio, which measures returns adjusted for price swings, was 8.4 so far in the second half, compared with 3.7 for Thailand’s baht and 0.2 for India’s rupee. China’s ratio is second only to Argentina’s 25 among emerging markets. Yuan notes sold in Hong Kong completed a 21st straight week of gains, returning 2.3 percent since March 28, a FTSE Group and Bank of China Ltd. index shows.