Long USD/JPY
Long NZD/USD
Short CHF/JPY
Long EUR/CHF
Short EUR/USD
Long AUD/USD
............
Michael B.
Ignored
Hi MB,
What about the following 5 pairs instead:
Long AUDUSD
Short CHFJPY
Long NZDUSD
Long USDJPY
Long USDCHF
This leaves us about the same net positions as in your 6 pairs.
I made a comparison of pure interest income between the two baskets.
Interest income based on equal units of each:
6-pair basket : 29.796% per year
5-pair basket : 39.255% per year
Interest income based on equal value of each:
6-pair basket : 29.083% per year
5-pair basket : 36.501% per year
I don't know what would the difference between the trading P&L between the two baskets, but based purely on interest income, it seems to favour the 5-pair basket. What do you think?
I am looking at the original 10 pair basket created and introduced at Oanda by chafcombe and then at FF by ES, but I am experimenting with one additional position: Short CHF/JPY. This seems to offset the exposure in JPY as shown in the recent JPY correction. The interest you have to pay on that pair is negligible compared to the interest made on the other JPY short positions, and it mitigates the risk of the basket.
