本次Python代写是编写投资组合策略

B9339 Homework Assignment #1

1) (FX carry) In this assignment, you are to investigate FX carry strategies. The Excel spreadsheet

“hw1.data.FX.dly.xlsx” contains daily data:

• FX spot rates for the G-10 currencies: EUR, JPY, GBP, CAD, AUD, NZD, CHF, NOK, SEK

(columns B-J). All exchange spot rates are against the US dollar (USD), and they are quoted

in their standard market convention: the “EUR” quote is USD/EUR but the “JPY” quote is

JPY/USD

• 1-day returns for each spot rate (columns L-T)

• Interest rates for the G-10 countries (columns W-AP). The interest rates correspond to 1-

month rates (labeled as “… 1M”) and 3-month rates (labeled as “… 3M”)

• Implied volatilities (from the currency options market) for:

o the AUD/JPY spot rate at tenors of 1 week (column AR: “AY1wk”), 3 months

(column AS: “AY3M”), and 6 months (column AT: “AY6M”);

o for JPY/USD at tenor of 3 months (column AU: “JPY3M”);

o for AUD/USD at tenor of 3 months (column AV: “AUD3M”)

• The VIX index (aka the “fear index”, constantly mentioned on CNBC), which is the Chicago

Board Options Exchange’s volatility index and reflects the market’s forward expectation

of 30-day equity volatility (hence the moniker “fear index”).

Use the FX spot and interest rate data to construct carry portfolios that:

i. Are based on all pairs of currencies and on the USD-based basket of currencies;

ii. Are based on the 1-month and the 3-month rates;

iii. Contain 2 and 3 currencies each on both the long and the short sides (for a total of 4

or 6 positions respectively);

iv. Use an equal, a rank-based, and a proportional-to-carry allocation for each position in

the portfolio.

(a) For each of the 24 portfolios you have constructed, clearly state the currencies you are

using and the weights of each position in the portfolio; also, explain how you have arrived

at these choices.

(b) Compare the distributions of the return streams of your carry portfolios. Does one

construction jump out as “better” than the others? Is there a single factor in your

construction that appears to make a bigger difference than the others? Briefly explain if

you think your findings are intuitive or not.

[Note: (i) To “compare” the distributions, it is not enough to say one portfolio produces

more return than another portfolio. You need to compare arithmetic and geometric

returns, other moments of the distributions, drawdowns, and any other properties of the

distributions you think are relevant. (ii) The explanation on the intuition is an open-ended

question: there is no right or wrong answer, as long as your explanation makes sense.]

(c) Select the “best” carry portfolio you have created, and analyze its relationship to the

volatility data in your dataset. Which volatility time-series seems the be the most useful

candidate for a conditioning variable that may help you improve your carry portfolio?

Does your finding make intuitive sense (in terms of underlying assets, tenor, etc.)? In

particular, do the data confirm (for your carry portfolio) the relationship between FX carry

and equity volatility that Jurek describes?

(d) Apply a conditioning scheme of your choice to each of the volatility data to improve upon

the “best” FX carry portfolio you have created in (c). Which of the resulting 6 carry

portfolios emerges as the best one? Is this answer in agreement with (i) what you would

have expected on the basis of your analysis in (c) and (ii) your intuition?

(e) Choose a measure of historical volatility of your choice (e.g. historical volatility of a

particular spot rate, historical volatility of a basket of spot rates, historical volatility of one

of the implied volatilities, historical volatility of the equity market, etc.) and repeat step

(d). Compare the return distribution of your carry portfolio conditional on the measure of

historical volatility you chose to the return distribution of your carry portfolio that

emerged as the best one in step (d). Explain why your finding agrees or does not agree

with your intuition.

[Note: (i) For this step, you need to explain the motivation behind the measure of

historical volatility you are choosing; again, there is no right or wrong answer, as long as

your explanation is compelling. (ii) If you choose to use historical volatility of the equity

market(s), either in the US or worldwide, you will need to download the

appropriate/necessary data; Yahoo Finance is a convenient site that provides such data

with relatively little effort.]

For the purposes of this assignment:

• All “returns” are to be computed as arithmetic returns:

𝑃𝑡+1

𝑃𝑡

− 1

• Transaction and other costs are to be ignored

• Rebalancing of the strategies is to be done on a daily basis (same time scale as the data

provided)

**程序代写代做C/C++/JAVA/安卓/PYTHON/留学生/PHP/APP开发/MATLAB**

本网站支持淘宝 支付宝 微信支付 paypal等等交易。如果不放心可以用淘宝交易！

**E-mail:** [email protected] **微信:**itcsdx

如果您使用手机请先保存二维码，微信识别。如果用电脑，直接掏出手机果断扫描。