老师,您好,这题问的很模糊,我的答案如下:
For AUD/USD currency pair.
The profit=1.362(1+1.76%)/1.3612-(1+2.2%)=-0.38%
For USD/EUR currency pair
The profit=1.1870(1+2.19%)/1.1866-(1+2.2%)=0.0244%
For JPY/USD currency pair, profit=0.2%
For MXN/USD currency pair, profit=-2%
The negative carry trade should be AUD/USD and MXN/USD currency pair,
profit=-(22%*0.38%+20%*2%)=-0.48%
答案太长了,而且只举了MXN/USD的例子,请问我的回答是否可以,这题给出了volatility和资产权重没有用吗?既然是negative carry trade,AUD/USD 也是negative的,为什么不使用?