Chinese Yuan Carry Trade Currency Basket โ€“ Nine Months Later and 43% Greater

Back on March 20, 2007, TheFinancialWhiz.Com started an experiment of combining a basket of nine currencies versus the Chinese Yuan. The goal of the basket was to generate positive interest payments from the long currency holdings, with a secondary goal of generating capital appreciation. The results: 43% return and a Sharpe Ratio of 1.37. Read more about the performance and risk characteristics of this unconventional carry trade strategy.