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Bloomberg
The Philippine peso and Indonesia’s rupiah are Asian carry trades most insulated from the coronavirus outbreak, as the pandemic shows no sign of
abating.
That’s based on comparative performance before and after January 20, when concerns about the disease escalated with reports that human-to-human transmission was occurring.
The top performers were the onshore yuan, rupiah and the offshore yuan, with trades in yen, peso and baht delivering losses.
Then, below we have the same basket from January 20 until January 29. The only profitable trades are yen, peso and rupiah, while the largest risk-adjusted losses are for the Thai baht, Hong Kong dollar and Taiwan dollar.
Short-term implied yields were relatively stable during the period, so deterioration in performances was driven by the general spike in volatility, and declines in spot rates for Asian currencies. Countries with the largest trade and tourism exposure to China were hardest hit, especially Thailand.