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I am trying to calculate the FX carry on let's say USDILS for a task. I was given the 3M Forward Implied Yield (ILSI3M CMPN Curncy on Bloomberg) and I need to use this in order to calculate my FX carry on this pair. I have looked up the WCRS function on Bloomberg to see how they calculate it, however it does not feel right. What troubles me is that I don't know if I just take this rate, keep the trade for 3m and then roll it and keep it for another 3m and calculate the FX spot difference. Or if I have to roll the 3M Forward implied yield everyday during my time horizon (if so how do I calculate that?) of investment and at the end look at the FX spot difference as well. Or Am I completely wrong ?

Thank you very much for your help. Have a great day!

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Implied yield is only remotely related to carry trades. The help page actually explains how everything is computed. In this case it is simply using 3m libor, spot and the FX forward to back out the current implied ILS yield via covered interest parity which states that the exchange rate should exactly offset the interest rate differential. If this unbiasedness hypothesis holds, the carry trade will never make (or lose money). In terms of WCRS, you can see here how Bloomberg computes it.

Generally it is like noob2 mentioned. You enter into a forward and hope the exchange rate doesn't change as much as covered interest parity suggests (or even worse).

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The way FX Carry trade usually works is: you enter into an FX forward contract with 3m maturity today (at the current forward price) and you keep it for 3 months. At maturity there is an exchange of currencies as previously agreed, but you immediately reverse that with an opposite transaction in the FX spot market (there will be a profit or loss of course, the rate in the Spot market is not the same as the forward rate you agreed to 3 months ago), then you enter into a new FX forward for the next 3 months. (So to know how you are doing you only have to look at the Forward and Spot rates in Bloomberg every 3 months. You don't have to have data on yields in the two currencies, those are automatically taken into account in the forward price).

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