Getting the carry trade's jackpot

This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades

The Nagasaki-Macao Trade between 1612 and 1618: Carlo Spinola S.J. Procurator of Japan

A nossa dissertação tem como objetivo analisar os compromissos e as obrigações do procurador da Companhia de Jesus no Japão durante os anos em que Carlo Spinola foi escolhido para ocupar tal posição, a segunda em ordem de importância, conforme o jesuíta italiano Francesco Pasio. O ofício de procurador era uma das posições que levavam os missionários da Companhia a lidar diretamente com as autoridades japonesas em Nagasáqui, uma vez que cabia ao procurador receber, verificar e distribuir os bens pertencentes à missão e que eram carregados no navio português de Macau. Além disso, o procurador, juntamente com outros padres superiores, tinha também incumbidas tarefas políticas relativas ao capitão-mor e aos Portugueses no Japão. Spinola assumiu o cargo quando o bakufu começou a mudar a sua atitude em relação à Igreja de Roma, devido a várias causas que, em parte, envolviam também a Companhia de Jesus, com conseqüências negativas para a missão. Para fornecer uma compreensão profunda deste cargo, propomos uma comparação entre o procuradorado de Spinola e outros procuradores no Japão, tendo escolhido em particular o caso do Português João Rodrigues Tçuzu. Além disso, uma vez que o Japão era um caso particular dentro do Padroado Português, parece-nos pertinente efectuar outra comparação e apresentar também o caso - embora mais conciso - do procurador da província brasileira da Companhia de Jesus. Através deste estudo de casos, tentaremos definir o procurador, tanto do ponto de vista prático - ou seja, os seus deveres, os seus compromissos e os seus recursos – como de uma perspectiva moral e filosófica – olhando para a literatura canônica produzida desde os primeiros tempos da Igreja Cristã. Até agora, a históriografia sobre e de autoria jesuítica apenas aborda o cargo de procurador de forma marginal. O nosso trabalho vai preencher essa lacuna. Além disso, o estudo do papel do procurador permite-nos, inevitavelmente, uma melhor compreensão dos mecanismos de participação da Companhia de Jesus no comércio entre Macau e Nagasáqui, desde o seu início – selado por Alessandro Valignano – até ao seu fim – contemporâneo do término do procuradorado de Spínola.

Firms survival and international trade: The impact of exports and imports

Double Degree. A Work Project presented as part of the requirements for the Award of a Masters in Management from Nova School of Business and Economics and Maastricht University.

Drilling deeper: Understanding trade in Angola

The present study analyzes Angola’s trading partners from 2005 to 2015 in order to understand the main drivers of Exports and Imports growth. Departing from a gravity model, foreign GDP growth and real exchange rate fluctuations were interpreted as demand and supply disturbances on Exports. While nominal and real exports both increase with demand expansions, they react differently to supply shocks. Imports are growing at the same rate as Angola’s economy while exchange rate fluctuations capture the wealth effect of Oil price in the economy.

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

The emergence of product certification systems as trade barriers

This paper addresses the growing difficulties automobile manufacturers face within their after sales business: an increasing number of trade obstacles set up by import countries discriminates against the foreign suppliers and impedes the international sales of genuine parts. The purpose of the study is to explore the emergence of trade restrictive product certification systems, which affect spare parts exports of automobile manufacturers. The methodology used includes review of the literature and an empirical study based on qualitative interviews with representatives of major stakeholders of the automotive after sales business. Relevant key drivers, which initiate the introduction of technical regulations in importing countries, are identified and analysed to evaluate their effect on the emerging trade policy. The analysis of the key drivers outlines that several interacting components, such as the global competitiveness of the country, macroeconomic and microeconomic factors, and certain country-specific variables induce trade restrictive product certification systems. The findings allow for an early detection of the emergence of product certification systems and provide a means to early recognise the risks and opportunities for the sales of automotive spare parts in the automakers’ target markets. This allows the manufacturers to react immediately and adapt in time to the upcoming changes.