“S&P 500” and “All Country Index” Boom Due to Weak Yen
The NAV is calculated using the “mid-rate” of the foreign exchange market.
The calculation method is to multiply the closing price of the underlying index on the “previous day” in the overseas market by the exchange rate of the domestic market on that day. The exchange rate used here is called “Nakane” or “TTM,” and is usually determined at around 10:00 a.m.
For example, in the case of the S&P 500, the closing price of the S&P 500 in the U.S. market on the previous day multiplied by the TTM of the domestic exchange market on that day becomes the NAV for that day (in the case of eMAXIS Slim, the closing price of the S&P 500 on the business day before July 3, 2006, was set at The value differs from that of the underlying index because the closing price of the S&P 500 on the business day prior to July 3, 2006 is used as the index value.)
In the case of Orcan, the procedure is to multiply the previous day’s fixed closing price of the foreign asset by the day’s domestic mid-market price, and then add the closing price of the subject asset in the domestic market on that day. After all this is done, the NAV for the day is finally determined.
Thus, the fluctuations of the underlying index and the exchange rate are multiplied, rather than added together. Conversely, if the yen appreciates when the underlying index declines, the decline in the NAV will also be amplified.
The influence of the dollar-yen rate on the “Orcan” is less than 90%.
The S&P 500 is composed of U.S. companies, so all asset prices are denominated in dollars. Therefore, the degree of influence of the exchange rate can be determined by looking at the dollar-yen rate.
May May 10 The NAV on May 10 was 29,170 The NAV on May 10 was ¥29,170 yen, and the midpoint is155.70 The NAV on the 10th was 29,170 yen, and the mid-price was 70 yen. Tentatively, S&P500 were the same and the middle price was 10 yen at a 10% higher level. 140 yen, the NAV would be 10 NAV would fall 10% to 26,200 JPY6,200 The NAV would fall 10% to about 26,200 yen.
How about [ORKAN]? It consists of a total of approximately 2,900 stocks of companies from 23 developed countries and 24 emerging countries, of which U.S. companies account for more than 60% by market capitalization. Although U.S. companies account for a high percentage, nearly 40% are companies from other developed and emerging countries, so the currency is also diversified.
Based on the results obtained from the data so far, it is estimated that just under 90% of the foreign exchange fluctuation to the Orcan is due to the dollar-yen rate, while more than 10% is due to other currencies, but surprisingly, other currencies have appreciated more against the yen than the dollar, which has had the effect of pushing the price of the Orcan even higher.
The reason why this was surprising is that, in general, the degree of volatility in asset prices is reduced when currencies are diversified. Nevertheless, the NAV of the Orcan has risen more than the rise in the dollar. Perhaps, the huge boom in the Orcan brought in a large number of orders to sell yen against a currency that had previously had little trading volume with the yen, causing it to rise more than the dollar.
In light of this, although there is a possibility that the NAV of the Orcan may fall more than the rate of decline in the dollar-yen rate if the trend turns toward a stronger yen in the future, the continuous demand to sell yen through reserve investments and other means may have the effect of currency diversification during periods of yen appreciation, and may act as a brake on price declines due to a weaker dollar and a stronger yen. This may well have the effect of putting the brakes on price declines due to the weak dollar and strong yen. This will depend on the trading conditions of currencies other than the dollar and the yen.
Therefore, in the case of a weak yen, the effect of the exchange rate on the NAV of Orcan is expected to exceed the rate of increase in the dollar-yen rate, as it has been in the past. On the other hand, when the yen appreciates, it is probably best to assume that the impact of the exchange rate will be about 90% of the decline in the dollar-yen rate, assuming the braking effect of continued yen selling demand.
May 10 NAV on May 10 was 20,000 The NAV on May 10 was 20,000 yen. The NAV on May 10 was 24,737 yen, which is a 10% appreciation of the yen yen appreciation of 10% from the current value. At 140 yen, the NAV would fall 9% to 20,000 yen. When the yen appreciates 10% from the current level to 140 yen, a 9% decline in the NAV would result in a loss of 22,500,000 yen. 2500 The NAV would fall by 9% to about 22,500 yen.
Note that this is the result of going back to …… for the past 1, 2, and 3 years from the end of April ’24, as Orcan started operations in October ’18 and the sample of data is small, Please note that this is a tentative conclusion, as the data sample is small and the Orcan has only been in operation since October 2006.
