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Carry trade return. Compute the excess return on each position, and add these up to get the excess return of the entire portfolio in any
Carry trade return. Compute the excess return on each position, and add these up to get the excess return of the entire portfolio in any month. Make sure to get the timing right. (Hint: use SKEW and KURT, and annualize as in notes.)
i)What is the annualized average excess return of the portfolio?
ii)What is the annualized standard deviation? What is the annualized SR?
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