Carry trade strategies

This module creates carry-trade strategies for interest rate products. It requires selecting two objects in the data selection module: (a) Spot Exchange Rate data type in USD currency under the Exchange Rate table; (b) Interest Rate 1-Month data type in the local currency under the Interest Rate table. In addition, the latter object must include the USD interest rate.

In this module, the user must first select both data objects in the data selection tab.

In the position setup tab, there are two portfolio strategies:

• Equally-weighted calculation: 1/N

• Maximal Sharpe-Ratio calculation: uses the method of maximising the Sharpe ratio value with the matrix solver function.

The rebalance type can be static or dynamic.

For the long position, it needs numerous carry currencies and the allowed number of active currencies. The user can choose to use the same configuration for short position or select a separate set of currencies for short carry.