JPMorgan Chase: 75% of global carry trades have been position squaring, G-10 carry trades are coming soon

On August 8, JPMorgan Chase said that three-quarters of the world's carry trades have been positioned squaring, and the recent decline has erased this year's gains.
Quantitative strategists Antonin Delair, Meera Chandan and Kunj Padh said in a letter to clients that returns on the G-10, emerging markets and global carry trade baskets tracked by the bank had fallen by about 10 per cent since May. The decline wiped out year-to-date returns and slashed profits accumulated since late 2022.
The team wrote that the spot portion of the global carry trade basket indicates that 75% of the carry trade position squaring. They reiterated that there is not much time left for the G-10 carry trade. The strategists said there is likely to be little chance of a rebound in August, a period when central banks have a lighter calendar and volatility has started to cool. (Jin Ten)