USD-Funded Carry Trade: Return of 27%, YTD

Interesting stats that the FXFB page on Bloomberg offers. A simple buy-and-hold strategy of being long the 3 most-yielding currencies of the developed world, in equal weighting, funded by borrowing U.S. dollars, would have returned more than 27% year-to-date this year, with a Sharpe ratio of 1.37. Of course, this is only for the last 12 months, and we know how the Yen carry trade ended... (The actual return is a tad higher since the tool computes the excess return over the risk-free rate.) The screen shot below shows monthly returns and is thus as of Nov 30.