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Quantitative Finance · Glosarium

Apa itu FX carry basket?

Definition 14.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Bab 14 — Cross-Currency Basis and FX Carry

An FX carry basket holds long the currencies with the highest short-term interest rates and short those with the lowest, usually in equal weights and against a common base currency, rebalanced as rates change; its return is the rate differential earned plus the change in the exchange rates.

A G10 carry basket against the dollar (long the three highest three-month interbank rates, short the three lowest), cumulative log return, May 2002 to December 2025, from FRED exchange rates and OECD interbank rates. Derived statistics only. Data: s2_fetch_g10.
Figure 14.1. A G10 carry basket against the dollar (long the three highest three-month interbank rates, short the three lowest), cumulative log return, May 2002 to December 2025, from FRED exchange rates and OECD interbank rates. Derived statistics only. Data: s2_fetch_g10.
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