Exercise - FX Carry Trade in GBP-USD

Exercise - FX Carry Trade in GBP-USD#

# Output from previous execution

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# Output from previous execution

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# Output from previous execution

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# Output from previous execution

/var/folders/zx/3v_qt0957xzg3nqtnkv007d00000gn/T/ipykernel_57358/60233612.py:7: FutureWarning: Series.__getitem__ treating keys as positions is deprecated. In a future version, integer keys will always be treated as labels (consistent with DataFrame behavior). To access a value by position, use `ser.iloc[pos]`
  perf.loc[f'Short {TICK}'] = rx_short.mean()[0] * FREQ

	average (annualized) excess return (USD)
Long GBP	-3.8%
Short GBP	5.0%

# Output from previous execution

../_images/639a11ba7f1d9409b4e039d1b34de79c8eb8f5a1c38b37798376f4fec2acc4f9.png

# Output from previous execution

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# Output from previous execution

Excess returns: 2025-06-30
	Denominated in USD	Denominated in Foreign
Long Foreign (Short USD)	0.1046%	0.1044%
Short Foreign (Long USD)	-0.1046%	-0.1044%

# Output from previous execution

Excess returns: Annualized sample average
	Denominated in USD	Denominated in Foreign
Long Foreign (Short USD)	-3.8038%	-3.8042%
Short Foreign (Long USD)	3.8038%	3.8042%

# Output from previous execution

Excess returns: 2025-06-30
	Denominated in USD	Denominated in Foreign
Long Foreign (Short USD)	0.1046%	0.0761%
Short Foreign (Long USD)	-0.1434%	-0.1044%