外汇套息策略看板

阅读顺序：第一部分看如果现在建仓，未来在不同汇率假设下可能得到的条件收益；第二部分看同一选币规则过去实际表现；第三部分再看人民币CNY与港元HKD两个独立观察池。正Carry表示做多该货币、做空美元的远期升贴水贡献为正，负值相反。

第一部分：未来收益测算

当前G10策略池为AUD、EUR、GBP、JPY，完整共同截面截至2026-07-10；最新选择是多AUD / 空JPY。本节回答的是：如果现在按最新远期报价建仓，在汇率不变或给定汇率情景下，到期毛收益是多少。它是条件收益测算，不是对未来即期汇率和实际收益的无条件预测；均未扣Bid-Ask、滑点、保证金成本和税费。

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

未来1M年化隐含毛Carry（%）

3.57

如果现在建立多AUD / 空JPY，按最新1M远期曲线计算

如果现在建立多AUD / 空JPY，按最新1M远期曲线计算Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

未来1Y汇率不变毛收益（%）

3.54

如果现在按AUD/JPY的1Y远期建仓且到期即期不变；不是滚动12个1M合约

如果现在按AUD/JPY的1Y远期建仓且到期即期不变；不是滚动12个1M合约Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

未来测算：汇率不变时各期限毛收益

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

未来测算：汇率不变时各期限毛收益 data
持有期	预计毛收益	每100万元预计收益	汇率盈亏平衡跌幅
1M	0.3%	2.97K元	-0.3%
3M	0.9%	9.03K元	-0.89%
6M	1.83%	18.27K元	-1.79%
1Y	3.54%	35.4K元	-3.42%

未来测算：12个月汇率情景总收益

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

未来测算：12个月汇率情景总收益 data
AUD/JPY变化	12M总收益	每100万元盈亏
-10%	-6.81%	-68.14K元
-5%	-1.64%	-16.37K元
0%	3.54%	35.4K元
+5%	8.72%	87.17K元
+10%	13.89%	138.94K元

未来条件收益测算明细

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

未来条件收益测算明细
持有期	汇率不变预计收益（%）	每100万元预计收益（元）	汇率盈亏平衡跌幅（%）	历史起点	对应历史总收益（%）
1M	+0.3	+2,973.49	-0.3	2026-06-10	-0.07
1Y	+3.54	+35,403.84	-3.42	2025-07-15	+19.37
3M	+0.9	+9,029.59	-0.89	2026-04-10	+0.51
6M	+1.83	+18,274.99	-1.79	2026-01-12	+7.37

当前推荐及测算输入

下列卡片、排名、期限结构和OIS对比解释为什么当前选出多AUD / 空JPY。1M表示合约期限约一个月，不要求自然月末交易；风险调整使用20日实现波动率。

Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

AUD 1M Carry（年化%）

0.63

澳元 AUD｜正Carry，按1M远期点计算

澳元 AUD｜正Carry，按1M远期点计算Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

GBP 1M Carry（年化%）

0.03

英镑 GBP｜接近中性，按1M远期点计算

英镑 GBP｜接近中性，按1M远期点计算Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

EUR 1M Carry（年化%）

-1.49

欧元 EUR｜负Carry，按1M远期点计算

欧元 EUR｜负Carry，按1M远期点计算Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

JPY 1M Carry（年化%）

-2.94

日元 JPY｜负Carry，按1M远期点计算

日元 JPY｜负Carry，按1M远期点计算Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

G10主池：1M Carry横截面排名

Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

G10主池：1M Carry横截面排名 data
货币	年化Carry	20日实现波动率	信号
澳元 AUD	0.63%	7.3%	正Carry
英镑 GBP	0.03%	6.65%	接近中性
欧元 EUR	-1.49%	6.02%	负Carry
日元 JPY	-2.94%	6.4%	负Carry

G10主池：1M Carry / 20日实现波动率

Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

G10主池：1M Carry / 20日实现波动率 data
货币	Carry / RV20	1M Carry	20日实现波动率
澳元 AUD	0.09倍	0.63%	7.3%
英镑 GBP	0倍	0.03%	6.65%
欧元 EUR	-0.25倍	-1.49%	6.02%
日元 JPY	-0.46倍	-2.94%	6.4%

G10主池：Carry期限结构

Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

G10主池：Carry期限结构 data
期限	年化Carry	货币	Carry Basis	政策曲线斜率
1M	0.63%	澳元 AUD	-0.04%	0.11%
1M	0.03%	英镑 GBP	-0.03%	0.15%
1M	-1.49%	欧元 EUR	-0.01%	0.17%
1M	-2.94%	日元 JPY	-0.23%	0.09%
3M	0.63%	澳元 AUD	-0.01%	0.11%
3M	0.02%	英镑 GBP	-0%	0.15%
3M	-1.48%	欧元 EUR	0.02%	0.17%
3M	-2.97%	日元 JPY	-0.2%	0.09%
6M	0.59%	澳元 AUD	0.01%	0.11%
6M	0.02%	英镑 GBP	0.02%	0.15%
6M	-1.5%	欧元 EUR	0.01%	0.17%
6M	-3.05%	日元 JPY	-0.23%	0.09%
1Y	0.5%	澳元 AUD	0.02%	0.11%
1Y	0.01%	英镑 GBP	0.01%	0.15%
1Y	-1.52%	欧元 EUR	0.04%	0.17%
1Y	-3.03%	日元 JPY	-0.19%	0.09%

1M远期Carry与OIS利差

Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

1M远期Carry与OIS利差 data
货币	年化百分比	指标
澳元 AUD	0.63%	远期隐含Carry
澳元 AUD	0.68%	OIS利差
英镑 GBP	0.03%	远期隐含Carry
英镑 GBP	0.06%	OIS利差
欧元 EUR	-1.49%	远期隐含Carry
欧元 EUR	-1.48%	OIS利差
日元 JPY	-2.94%	远期隐含Carry
日元 JPY	-2.7%	OIS利差

G10主池最新1M指标明细

Source: SQLite G10最新完整截面Tables: v_latest_dashboard, carry_metrics_daily

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

G10主池最新1M指标明细
排名	货币	1M Carry（%）	RV20（%）	Carry/RV20	OIS利差（%）	Basis（%）	OIS状态
1	澳元 AUD	+0.63	7.3	+0.09	+0.68	-0.04	已匹配OIS
2	英镑 GBP	+0.03	6.65	+0	+0.06	-0.03	已匹配OIS
3	欧元 EUR	-1.49	6.02	-0.25	-1.48	-0.01	已匹配OIS
4	日元 JPY	-2.94	6.4	-0.46	-2.7	-0.23	已匹配OIS

第二部分：历史回测验证

本节不再回答未来能赚多少，而是检验同一规则过去是否有效：每个入场日从四个G10货币中做多1M Carry最高者、做空最低者，持有至首个不早于30日后的共同报价日再换仓。历史样本为2024-11-14至2026-06-15，共19个互不重叠持有期。

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

历史回测年化毛收益（%）

10.86

2024-11-14至2026-06-15，19个约30日持有期

2024-11-14至2026-06-15，19个约30日持有期Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

历史回测持有期胜率（%）

73.68

历史选择：GBP/JPY 15期；AUD/JPY 4期；样本较短

历史选择：GBP/JPY 15期；AUD/JPY 4期；样本较短Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

历史回测：约30日滚动策略累计收益

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

历史回测：约30日滚动策略累计收益 data
日期	累计收益	收益口径
2024-11-14	0%	总收益
2024-11-14	0%	仅Carry
2024-12-16	-0.89%	总收益
2024-12-16	0.38%	仅Carry
2025-01-15	-2.66%	总收益
2025-01-15	0.85%	仅Carry
2025-02-14	-1.91%	总收益
2025-02-14	1.25%	仅Carry
2025-03-17	-1.09%	总收益
2025-03-17	1.58%	仅Carry
2025-04-16	-2.82%	总收益
2025-04-16	1.97%	仅Carry
2025-05-16	-0.04%	总收益
2025-05-16	2.33%	仅Carry
2025-06-16	1.56%	总收益
2025-06-16	2.67%	仅Carry
2025-07-16	3.34%	总收益
2025-07-16	3%	仅Carry
2025-08-15	3.99%	总收益
2025-08-15	3.34%	仅Carry
2025-09-15	4.84%	总收益
2025-09-15	3.66%	仅Carry
2025-10-15	6.28%	总收益
2025-10-15	3.98%	仅Carry
2025-11-14	7.08%	总收益
2025-11-14	4.3%	仅Carry
2025-12-15	9.7%	总收益
2025-12-15	4.62%	仅Carry
2026-01-14	12.63%	总收益
2026-01-14	4.97%	仅Carry
2026-02-13	10.73%	总收益
2026-02-13	5.27%	仅Carry
2026-03-16	15.54%	总收益
2026-03-16	5.53%	仅Carry
2026-04-15	17.44%	总收益
2026-04-15	5.86%	仅Carry
2026-05-15	17.39%	总收益
2026-05-15	6.19%	仅Carry
2026-06-15	17.74%	总收益
2026-06-15	6.55%	仅Carry

历史约30日滚动回测明细（19期）

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

历史约30日滚动回测明细（19期）
信号观察 / 入场日	退出 / 换仓日	实际持有天数	多 / 空	入场远期隐含Carry（%）	期间汇率贡献（%）	持有期总收益（%）
2024-11-14	2024-12-16	32	GBP/JPY	+0.38	-1.27	-0.89
2024-12-16	2025-01-15	30	GBP/JPY	+0.46	-2.24	-1.79
2025-01-15	2025-02-14	30	GBP/JPY	+0.4	+0.37	+0.77
2025-02-14	2025-03-17	31	GBP/JPY	+0.33	+0.51	+0.84
2025-03-17	2025-04-16	30	GBP/JPY	+0.39	-2.13	-1.75
2025-04-16	2025-05-16	30	GBP/JPY	+0.35	+2.5	+2.86
2025-05-16	2025-06-16	31	GBP/JPY	+0.33	+1.27	+1.6
2025-06-16	2025-07-16	30	GBP/JPY	+0.32	+1.42	+1.75
2025-07-16	2025-08-15	30	GBP/JPY	+0.33	+0.3	+0.63
2025-08-15	2025-09-15	31	GBP/JPY	+0.31	+0.51	+0.82
2025-09-15	2025-10-15	30	GBP/JPY	+0.31	+1.07	+1.38
2025-10-15	2025-11-14	30	GBP/JPY	+0.31	+0.44	+0.75
2025-11-14	2025-12-15	31	GBP/JPY	+0.31	+2.13	+2.44
2025-12-15	2026-01-14	30	GBP/JPY	+0.34	+2.32	+2.67
2026-01-14	2026-02-13	30	GBP/JPY	+0.28	-1.96	-1.69

19 results · Showing first 15

怎样读历史结果

历史选币组合为GBP/JPY 15期；AUD/JPY 4期；累计毛收益17.74%，年化10.86%，持有期胜率73.7%，换仓日口径最大回撤-2.82%。
实际1M到期受起息日和节假日规则影响；本版用首个不早于入场后30日的共同报价日近似。
回测同时包含入场远期锁定的Carry与随后汇率变化；样本较短，历史收益不是未来收益预测。

Source: SQLite策略收益与约30日滚动回测Table: fx_forward_daily

在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。

SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor

历史Carry环境

下面的周度曲线用于核对回测期间各货币的1M Carry如何变化，不属于未来收益测算。

Source: SQLite G10周度Carry历史Table: carry_metrics_daily

从四个G10货币的日度1M Carry中保留每周最后一个有效交易日。

WITH weekly AS (
  SELECT date,currency,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY currency,strftime('%Y-%W',date)
           ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE tenor='1M'
    AND currency IN ('AUD','EUR','GBP','JPY')
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency IN ('AUD','EUR','GBP','JPY') AND tenor='1M'), '-3 years')
)
SELECT date,currency,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1
ORDER BY date,currency
LIMIT 500

G10主池：1M Carry历史变化

Source: SQLite G10周度Carry历史Table: carry_metrics_daily

从四个G10货币的日度1M Carry中保留每周最后一个有效交易日。

WITH weekly AS (
  SELECT date,currency,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY currency,strftime('%Y-%W',date)
           ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE tenor='1M'
    AND currency IN ('AUD','EUR','GBP','JPY')
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency IN ('AUD','EUR','GBP','JPY') AND tenor='1M'), '-3 years')
)
SELECT date,currency,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1
ORDER BY date,currency
LIMIT 500

G10主池：1M Carry历史变化 data
日期	1M年化Carry	货币	20日实现波动率	Carry / RV20
2024-11-15	-0.3%	澳元 AUD	10.4%	-0.03倍
2024-11-15	-1.43%	欧元 EUR	8.67%	-0.17倍
2024-11-15	0.06%	英镑 GBP	9%	0.01倍
2024-11-15	-4.59%	日元 JPY	11.68%	-0.39倍
2024-11-22	-0.33%	澳元 AUD	10.57%	-0.03倍
2024-11-22	-1.55%	欧元 EUR	9.03%	-0.17倍
2024-11-22	0.09%	英镑 GBP	9.18%	0.01倍
2024-11-22	-4.48%	日元 JPY	10.93%	-0.41倍
2024-11-29	-0.33%	澳元 AUD	10.6%	-0.03倍
2024-11-29	-1.66%	欧元 EUR	9.95%	-0.17倍
2024-11-29	0.03%	英镑 GBP	10.19%	0倍
2024-11-29	-5.64%	日元 JPY	12.7%	-0.44倍
2024-12-06	-0.3%	澳元 AUD	10.54%	-0.03倍
2024-12-06	-1.64%	欧元 EUR	8.29%	-0.2倍
2024-12-06	0.09%	英镑 GBP	8.38%	0.01倍
2024-12-06	-4.95%	日元 JPY	11.1%	-0.45倍
2024-12-13	-0.16%	澳元 AUD	9.53%	-0.02倍
2024-12-13	-1.61%	欧元 EUR	6.85%	-0.23倍
2024-12-13	0.16%	英镑 GBP	6.72%	0.02倍
2024-12-13	-4.93%	日元 JPY	10.85%	-0.45倍
2024-12-20	-0.14%	澳元 AUD	9.57%	-0.01倍
2024-12-20	-1.77%	欧元 EUR	7.93%	-0.22倍
2024-12-20	0.21%	英镑 GBP	8.15%	0.03倍
2024-12-20	-5.31%	日元 JPY	13.95%	-0.38倍
2024-12-27	0%	澳元 AUD	9.22%	0倍
2024-12-27	-1.65%	欧元 EUR	6.25%	-0.26倍
2024-12-27	0.32%	英镑 GBP	7.16%	0.04倍
2024-12-27	-4.47%	日元 JPY	11.83%	-0.38倍
2024-12-31	-0.03%	澳元 AUD	8.92%	-0倍
2024-12-31	-1.49%	欧元 EUR	6.07%	-0.25倍
2024-12-31	0.32%	英镑 GBP	7.06%	0.05倍
2024-12-31	-4.39%	日元 JPY	11.32%	-0.39倍
2025-01-03	-0.05%	澳元 AUD	8.75%	-0.01倍
2025-01-03	-1.46%	欧元 EUR	6.66%	-0.22倍
2025-01-03	0.32%	英镑 GBP	8.02%	0.04倍
2025-01-03	-4.4%	日元 JPY	11.29%	-0.39倍
2025-01-10	-0.04%	澳元 AUD	6.35%	-0.01倍
2025-01-10	-1.53%	欧元 EUR	7.75%	-0.2倍
2025-01-10	0.3%	英镑 GBP	9.41%	0.03倍
2025-01-10	-4.84%	日元 JPY	10.92%	-0.44倍
2025-01-17	-0.01%	澳元 AUD	6.62%	-0倍
2025-01-17	-1.57%	欧元 EUR	8.43%	-0.19倍
2025-01-17	0.25%	英镑 GBP	9.32%	0.03倍
2025-01-17	-4.28%	日元 JPY	11.19%	-0.38倍
2025-01-24	-0.05%	澳元 AUD	7.07%	-0.01倍
2025-01-24	-1.64%	欧元 EUR	9.11%	-0.18倍
2025-01-24	0.18%	英镑 GBP	10.44%	0.02倍
2025-01-24	-4.25%	日元 JPY	6.67%	-0.64倍
2025-01-27	-0.04%	澳元 AUD	7.54%	-0倍
2025-01-27	-1.59%	欧元 EUR	9.1%	-0.18倍

348 results · Showing first 50

第三部分：人民币与港元独立观察

CNY与HKD的交易准入、定价和货币制度与当前G10回测池不同，因此只在本节分别观察，不进入G10排名、推荐组合或历史回测。

3.1 人民币CNY

使用在岸USD/CNY口径，Carry曲线截至2026-07-10。CNY只与自身历史比较；当前没有可比CNY OIS，因此不计算OIS利差和Carry Basis。

Source: SQLite CNY独立观察曲线Tables: v_latest_observation_curve, carry_metrics_daily

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

USD/CNY即期

6.78

在岸USD/CNY，截至2026-07-10

在岸USD/CNY，截至2026-07-10Source: SQLite CNY独立观察曲线Tables: v_latest_observation_curve, carry_metrics_daily

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

CNY 1M Carry（年化%）

-2.54

做多CNY、做空USD的1M远期隐含毛Carry

做多CNY、做空USD的1M远期隐含毛CarrySource: SQLite CNY独立观察曲线Tables: v_latest_observation_curve, carry_metrics_daily

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

CNY RV20（年化%）

2.33

用20日实现波动率衡量近期汇率风险

用20日实现波动率衡量近期汇率风险Source: SQLite CNY独立观察曲线Tables: v_latest_observation_curve, carry_metrics_daily

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

1M Carry历史分位（%）

53.89

相对CNY自身历史，不与G10做横截面排名

相对CNY自身历史，不与G10做横截面排名Source: SQLite CNY独立观察曲线Tables: v_latest_observation_curve, carry_metrics_daily

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

CNY独立观察：USD/CNY即期

Source: SQLite CNY周度观察历史Table: carry_metrics_daily

保留CNY日度1M Carry与即期的每周最后一个有效交易日。

WITH weekly AS (
  SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE currency='CNY' AND tenor='1M'
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency='CNY' AND tenor='1M'), '-3 years')
)
SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

CNY独立观察：USD/CNY即期 data
日期	USD/CNY
2024-11-15	7.23
2024-11-22	7.25
2024-11-29	7.24
2024-12-06	7.27
2024-12-13	7.28
2024-12-20	7.3
2024-12-27	7.3
2024-12-31	7.3
2025-01-03	7.32
2025-01-10	7.33
2025-01-17	7.32
2025-01-24	7.24
2025-01-27	7.25
2025-02-07	7.29
2025-02-14	7.25
2025-02-21	7.25
2025-02-28	7.28
2025-03-07	7.23
2025-03-14	7.24
2025-03-21	7.25
2025-03-28	7.26
2025-04-03	7.28
2025-04-11	7.29
2025-04-18	7.3
2025-04-25	7.29
2025-04-30	7.27
2025-05-09	7.24
2025-05-16	7.21
2025-05-23	7.18
2025-05-30	7.2
2025-06-06	7.19
2025-06-13	7.18
2025-06-20	7.18
2025-06-27	7.17
2025-07-03	7.17
2025-07-11	7.17
2025-07-18	7.18
2025-07-25	7.17
2025-08-01	7.21
2025-08-08	7.18
2025-08-15	7.18
2025-08-22	7.17
2025-08-29	7.13
2025-09-05	7.13
2025-09-12	7.12
2025-09-19	7.11
2025-09-26	7.13
2025-09-30	7.12
2025-10-10	7.13
2025-10-17	7.13

87 results · Showing first 50

CNY独立观察：1M Carry历史

Source: SQLite CNY周度观察历史Table: carry_metrics_daily

保留CNY日度1M Carry与即期的每周最后一个有效交易日。

WITH weekly AS (
  SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE currency='CNY' AND tenor='1M'
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency='CNY' AND tenor='1M'), '-3 years')
)
SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

CNY独立观察：1M Carry历史 data
日期	1M年化Carry	RV20	Carry/RV20
2024-11-15	-2.77%	5.56%	-0.5倍
2024-11-22	-2.8%	5.39%	-0.52倍
2024-11-29	-2.83%	5.44%	-0.52倍
2024-12-06	-3%	4.41%	-0.68倍
2024-12-13	-2.9%	2.58%	-1.13倍
2024-12-20	-2.85%	2.54%	-1.12倍
2024-12-27	-2.39%	2.42%	-0.99倍
2024-12-31	-2.78%	1.98%	-1.4倍
2025-01-03	-2.48%	1.69%	-1.47倍
2025-01-10	-2.7%	1.14%	-2.36倍
2025-01-17	-2.57%	1.2%	-2.15倍
2025-01-24	-2.22%	3.69%	-0.6倍
2025-01-27	-2.33%	3.71%	-0.63倍
2025-02-07	-2.35%	3.98%	-0.59倍
2025-02-14	-2.31%	4.44%	-0.52倍
2025-02-21	-2.32%	4.02%	-0.58倍
2025-02-28	-2.63%	3.59%	-0.73倍
2025-03-07	-2.57%	3.43%	-0.75倍
2025-03-14	-2.66%	3.86%	-0.69倍
2025-03-21	-2.47%	3.04%	-0.81倍
2025-03-28	-2.64%	2.78%	-0.95倍
2025-04-03	-2.38%	2.67%	-0.89倍
2025-04-11	-2.7%	3.32%	-0.81倍
2025-04-18	-2.64%	3.39%	-0.78倍
2025-04-25	-2.69%	3.77%	-0.71倍
2025-04-30	-2.87%	3.94%	-0.73倍
2025-05-09	-2.87%	3.67%	-0.78倍
2025-05-16	-2.82%	3.81%	-0.74倍
2025-05-23	-2.83%	3.69%	-0.77倍
2025-05-30	-2.94%	3.74%	-0.79倍
2025-06-06	-2.67%	2.74%	-0.97倍
2025-06-13	-2.64%	2.49%	-1.06倍
2025-06-20	-2.5%	2.39%	-1.05倍
2025-06-27	-2.58%	1.99%	-1.3倍
2025-07-03	-2.69%	1.84%	-1.46倍
2025-07-11	-2.77%	1.62%	-1.7倍
2025-07-18	-2.73%	1.28%	-2.12倍
2025-07-25	-2.74%	1.46%	-1.88倍
2025-08-01	-2.81%	1.74%	-1.62倍
2025-08-08	-2.89%	2.42%	-1.19倍
2025-08-15	-2.89%	2.45%	-1.18倍
2025-08-22	-2.77%	2.35%	-1.18倍
2025-08-29	-3.05%	2.28%	-1.34倍
2025-09-05	-2.52%	1.78%	-1.42倍
2025-09-12	-2.49%	1.72%	-1.45倍
2025-09-19	-2.26%	1.81%	-1.25倍
2025-09-26	-2.08%	1.57%	-1.32倍
2025-09-30	-2.37%	1.64%	-1.44倍
2025-10-10	-2.28%	1.57%	-1.45倍
2025-10-17	-2.34%	1.51%	-1.55倍

87 results · Showing first 50

CNY独立观察：Carry期限结构

Source: SQLite CNY独立观察曲线Tables: v_latest_observation_curve, carry_metrics_daily

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

CNY独立观察：Carry期限结构 data
期限	年化Carry	Carry/RV20	自身历史分位
1M	-2.54%	-1.09倍	53.89%
3M	-2.58%	-1.11倍	48.7%
6M	-2.65%	-1.14倍	39.12%
1Y	-2.7%	-1.16倍	39.12%

CNY独立观察期限明细

Source: SQLite CNY独立观察曲线Tables: v_latest_observation_curve, carry_metrics_daily

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

CNY独立观察期限明细
期限顺序	期限	本币对美元原生即期	年化Carry（%）	RV20（%）	Carry/RV20	自身历史分位（%）	数据状态
1	1M	6.78	-2.54	2.33	-1.09	53.89	cny_observation_gross_carry_no_ois
2	3M	6.78	-2.58	2.33	-1.11	48.7	cny_observation_gross_carry_no_ois
3	6M	6.78	-2.65	2.33	-1.14	39.12	cny_observation_gross_carry_no_ois
5	1Y	6.78	-2.7	2.33	-1.16	39.12	cny_observation_gross_carry_no_ois

3.2 港元HKD

HKD采用专用USD/HKD文件中的完整掉期曲线，不与通用掉期表拼接。Carry曲线截至2026-06-30；即期、HIBOR、SOFR和银行体系总结余截至2026-07-06。联系汇率区间为7.75–7.85。

USD/HKD即期

7.84

联系汇率市场状态，截至2026-07-06

联系汇率市场状态，截至2026-07-06Source: SQLite HKD最新市场状态Tables: v_hkd_latest_market, hkd_market_daily

读取USD/HKD即期、HIBOR、SOFR与银行体系总结余的最新独立市场状态。

SELECT * FROM v_hkd_latest_market

联系汇率区间位置（%）

93.07

0%为7.75强方，100%为7.85弱方兑换保证

0%为7.75强方，100%为7.85弱方兑换保证Source: SQLite HKD最新市场状态Tables: v_hkd_latest_market, hkd_market_daily

读取USD/HKD即期、HIBOR、SOFR与银行体系总结余的最新独立市场状态。

SELECT * FROM v_hkd_latest_market

HKD 1M Carry（年化%）

-1.39

专用USD/HKD曲线，截至2026-06-30

专用USD/HKD曲线，截至2026-06-30Source: SQLite HKD专用Carry曲线Tables: v_latest_observation_curve, carry_metrics_daily, forward_points_daily

读取专用USD/HKD文件生成的最新完整Carry曲线，不与通用掉期表拼接。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='HKD' AND tenor IN ('1M','3M','6M','9M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 WHEN '9M' THEN 4 ELSE 5 END

收市总结余（百万港元）

54,157

香港银行体系流动性的制度背景指标

香港银行体系流动性的制度背景指标Source: SQLite HKD最新市场状态Tables: v_hkd_latest_market, hkd_market_daily

读取USD/HKD即期、HIBOR、SOFR与银行体系总结余的最新独立市场状态。

SELECT * FROM v_hkd_latest_market

HKD独立观察：联系汇率区间

Source: SQLite HKD联系汇率与流动性历史Table: hkd_market_daily

保留最近五年USD/HKD、HIBOR、SOFR与收市总结余的周度末值。

WITH weekly AS (
  SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM hkd_market_daily
  WHERE date >= date((SELECT MAX(date) FROM hkd_market_daily), '-5 years')
)
SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

HKD独立观察：联系汇率区间 data
日期	USD/HKD
2021-07-11	—
2021-07-18	—
2021-07-25	—
2021-08-01	—
2021-08-08	—
2021-08-15	—
2021-08-22	—
2021-08-29	—
2021-09-05	—
2021-09-12	—
2021-09-19	—
2021-09-26	—
2021-10-03	—
2021-10-10	—
2021-10-17	—
2021-10-24	—
2021-10-31	—
2021-11-07	—
2021-11-14	—
2021-11-21	—
2021-11-28	—
2021-12-05	—
2021-12-12	—
2021-12-19	—
2021-12-26	—
2021-12-31	7.8
2022-01-02	—
2022-01-09	—
2022-01-16	—
2022-01-23	—
2022-01-30	—
2022-02-06	—
2022-02-13	—
2022-02-20	—
2022-02-27	—
2022-03-06	—
2022-03-13	—
2022-03-20	—
2022-03-27	—
2022-04-03	—
2022-04-10	—
2022-04-17	—
2022-04-24	—
2022-05-01	—
2022-05-08	—
2022-05-15	—
2022-05-22	—
2022-05-29	—
2022-06-05	—
2022-06-12	—

266 results · Showing first 50

HKD独立观察：HIBOR与SOFR

Source: SQLite HKD联系汇率与流动性历史Table: hkd_market_daily

保留最近五年USD/HKD、HIBOR、SOFR与收市总结余的周度末值。

WITH weekly AS (
  SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM hkd_market_daily
  WHERE date >= date((SELECT MAX(date) FROM hkd_market_daily), '-5 years')
)
SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

HKD独立观察：HIBOR与SOFR data
日期	利率	利率口径
2021-12-31	0.16%	HIBOR 1M
2021-12-31	0.05%	SOFR 1M复合平均
2024-12-31	4.58%	HIBOR 1M
2024-12-31	4.53%	SOFR 1M复合平均
2025-12-31	3.08%	HIBOR 1M
2025-12-31	3.79%	SOFR 1M复合平均
2026-04-10	2.24%	HIBOR 1M
2026-04-10	3.64%	SOFR 1M复合平均
2026-04-17	2.55%	HIBOR 1M
2026-04-17	3.64%	SOFR 1M复合平均
2026-04-24	2.49%	HIBOR 1M
2026-04-24	3.65%	SOFR 1M复合平均
2026-05-01	3.65%	SOFR 1M复合平均
2026-05-08	2.62%	HIBOR 1M
2026-05-08	3.64%	SOFR 1M复合平均
2026-05-15	2.64%	HIBOR 1M
2026-05-15	3.64%	SOFR 1M复合平均
2026-05-22	2.6%	HIBOR 1M
2026-05-22	3.61%	SOFR 1M复合平均
2026-05-29	2.61%	HIBOR 1M
2026-05-29	3.59%	SOFR 1M复合平均
2026-06-05	2.72%	HIBOR 1M
2026-06-05	3.59%	SOFR 1M复合平均
2026-06-12	2.7%	HIBOR 1M
2026-06-12	3.59%	SOFR 1M复合平均
2026-06-26	2.96%	HIBOR 1M
2026-06-26	3.63%	SOFR 1M复合平均
2026-07-03	2.76%	HIBOR 1M
2026-07-06	2.76%	HIBOR 1M
2026-07-06	3.64%	SOFR 1M复合平均

HKD独立观察：银行体系总结余

Source: SQLite HKD联系汇率与流动性历史Table: hkd_market_daily

保留最近五年USD/HKD、HIBOR、SOFR与收市总结余的周度末值。

WITH weekly AS (
  SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM hkd_market_daily
  WHERE date >= date((SELECT MAX(date) FROM hkd_market_daily), '-5 years')
)
SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

HKD独立观察：银行体系总结余 data
日期	收市总结余
2021-07-11	—
2021-07-18	—
2021-07-25	—
2021-08-01	—
2021-08-08	—
2021-08-15	—
2021-08-22	—
2021-08-29	—
2021-09-05	—
2021-09-12	—
2021-09-19	—
2021-09-26	—
2021-10-03	—
2021-10-10	—
2021-10-17	—
2021-10-24	—
2021-10-31	—
2021-11-07	—
2021-11-14	—
2021-11-21	—
2021-11-28	—
2021-12-05	—
2021-12-12	—
2021-12-19	—
2021-12-26	—
2021-12-31	377,516百万港元
2022-01-02	—
2022-01-09	—
2022-01-16	—
2022-01-23	—
2022-01-30	—
2022-02-06	—
2022-02-13	—
2022-02-20	—
2022-02-27	—
2022-03-06	—
2022-03-13	—
2022-03-20	—
2022-03-27	—
2022-04-03	—
2022-04-10	—
2022-04-17	—
2022-04-24	—
2022-05-01	—
2022-05-08	—
2022-05-15	—
2022-05-22	—
2022-05-29	—
2022-06-05	—
2022-06-12	—

266 results · Showing first 50

HKD独立观察：1M Carry历史

Source: SQLite HKD周度Carry历史Tables: carry_metrics_daily, forward_points_daily

从HKD专用日度1M Carry中保留最近五年的每周最后一个有效交易日。

WITH weekly AS (
  SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE currency='HKD' AND tenor='1M'
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency='HKD' AND tenor='1M'), '-5 years')
)
SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

HKD独立观察：1M Carry历史 data
日期	1M年化Carry	RV20	Carry/RV20
2021-07-02	-0.08%	0.28%	-0.3倍
2021-07-09	-0.08%	0.28%	-0.3倍
2021-07-16	-0.1%	0.29%	-0.35倍
2021-07-23	-0.09%	0.28%	-0.34倍
2021-07-30	-0.08%	0.8%	-0.1倍
2021-08-06	-0.08%	0.85%	-0.09倍
2021-08-13	-0.08%	0.88%	-0.09倍
2021-08-20	-0.08%	0.95%	-0.08倍
2021-08-27	-0.1%	0.71%	-0.14倍
2021-09-03	-0.08%	0.82%	-0.1倍
2021-09-10	-0.08%	0.79%	-0.1倍
2021-09-17	-0.09%	0.68%	-0.14倍
2021-09-24	-0.09%	0.62%	-0.15倍
2021-09-30	-0.11%	0.35%	-0.31倍
2021-10-08	-0.11%	0.39%	-0.28倍
2021-10-15	-0.12%	0.48%	-0.26倍
2021-10-22	-0.08%	0.44%	-0.18倍
2021-10-29	-0.09%	0.45%	-0.21倍
2021-11-05	-0.08%	0.49%	-0.16倍
2021-11-12	-0.08%	0.41%	-0.19倍
2021-11-19	-0.05%	0.38%	-0.14倍
2021-11-26	-0.04%	0.47%	-0.08倍
2021-12-03	-0.04%	0.56%	-0.07倍
2021-12-10	-0.05%	0.55%	-0.1倍
2021-12-17	-0.06%	0.55%	-0.11倍
2021-12-24	-0.06%	0.48%	-0.13倍
2021-12-31	-0.06%	0.38%	-0.16倍
2022-01-07	-0.03%	0.42%	-0.07倍
2022-01-14	-0.03%	0.46%	-0.07倍
2022-01-21	-0.02%	0.57%	-0.03倍
2022-01-28	-0.01%	0.59%	-0.01倍
2022-02-04	-0.01%	0.63%	-0.01倍
2022-02-11	-0.02%	0.67%	-0.03倍
2022-02-18	0%	0.6%	0倍
2022-02-25	0.01%	0.61%	0.01倍
2022-03-04	-0.15%	0.56%	-0.28倍
2022-03-11	-0.35%	0.54%	-0.65倍
2022-03-18	-0.25%	0.73%	-0.34倍
2022-03-25	-0.29%	0.76%	-0.39倍
2022-04-01	-0.32%	0.73%	-0.44倍
2022-04-08	-0.4%	0.65%	-0.61倍
2022-04-14	-0.43%	0.48%	-0.9倍
2022-04-22	-0.52%	0.38%	-1.35倍
2022-04-29	-0.81%	0.29%	-2.76倍
2022-05-06	-0.78%	0.27%	-2.84倍
2022-05-13	-0.78%	0.21%	-3.77倍
2022-05-20	-0.91%	0.19%	-4.82倍
2022-05-27	-0.94%	0.17%	-5.45倍
2022-06-02	-0.95%	0.24%	-3.91倍
2022-06-10	-1.04%	0.3%	-3.47倍

264 results · Showing first 50

HKD独立观察：专用Carry曲线

Source: SQLite HKD专用Carry曲线Tables: v_latest_observation_curve, carry_metrics_daily, forward_points_daily

读取专用USD/HKD文件生成的最新完整Carry曲线，不与通用掉期表拼接。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='HKD' AND tenor IN ('1M','3M','6M','9M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 WHEN '9M' THEN 4 ELSE 5 END

HKD独立观察：专用Carry曲线 data
期限	年化Carry	Carry/RV20	自身历史分位
1M	-1.39%	-4.33倍	6.6%
3M	-1.25%	-3.89倍	6.11%
6M	-0.99%	-3.07倍	9.21%
9M	-0.92%	-2.87倍	8.21%
1Y	-0.87%	-2.72倍	6.76%

HKD独立观察专用曲线明细

Source: SQLite HKD专用Carry曲线Tables: v_latest_observation_curve, carry_metrics_daily, forward_points_daily

读取专用USD/HKD文件生成的最新完整Carry曲线，不与通用掉期表拼接。

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='HKD' AND tenor IN ('1M','3M','6M','9M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 WHEN '9M' THEN 4 ELSE 5 END

HKD独立观察专用曲线明细
期限顺序	期限	本币对美元原生即期	年化Carry（%）	RV20（%）	Carry/RV20	自身历史分位（%）	数据状态
1	1M	7.84	-1.39	0.32	-4.33	6.6	hkd_observation_gross_carry_no_ois
2	3M	7.84	-1.25	0.32	-3.89	6.11	hkd_observation_gross_carry_no_ois
3	6M	7.84	-0.99	0.32	-3.07	9.21	hkd_observation_gross_carry_no_ois
4	9M	7.84	-0.92	0.32	-2.87	8.21	hkd_observation_gross_carry_no_ois
5	1Y	7.84	-0.87	0.32	-2.72	6.76	hkd_observation_gross_carry_no_ois

阅读边界

三个池均缺少即期和远期Bid-Ask，因此结果是毛Carry，不是成本后收益。
风险调整使用实现波动率，不是隐含波动率。
CNY与HKD仅作独立观察；HKD的HIBOR与SOFR用于制度和流动性背景，不能解释为OIS Basis。
三池截至日不同，比较时应以各模块标题标注的日期为准。
原始即期表中的0值已按缺失剔除。

Sources

SQLite G10最新完整截面database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00

读取AUD、EUR、GBP、JPY四个G10货币×四期限的最新完整共同截面。

SQL query

SELECT date,currency,tenor,carry_annual_pct,ois_foreign_pct,ois_usd_pct,
rate_diff_pct,carry_basis_pct,policy_slope_6m_1m_pct,rv20_pct,rv60_pct,
carry_to_rv20,carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_dashboard
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END,
cross_section_rank

SQLite G10周度Carry历史database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00

从四个G10货币的日度1M Carry中保留每周最后一个有效交易日。

SQL query

WITH weekly AS (
  SELECT date,currency,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY currency,strftime('%Y-%W',date)
           ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE tenor='1M'
    AND currency IN ('AUD','EUR','GBP','JPY')
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency IN ('AUD','EUR','GBP','JPY') AND tenor='1M'), '-3 years')
)
SELECT date,currency,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1
ORDER BY date,currency
LIMIT 500

SQLite策略收益与约30日滚动回测database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00
在每个入场日按1M Carry横截面选择最高货币做多、最低货币做空，以入场日1M远期价格建仓，并在首个不早于30日后的共同报价日退出及重新选择。
SQL query
```
SELECT date,currency,tenor,spot_usd_per_ccy,
forward_usd_per_ccy,carry_annual_pct
FROM fx_forward_daily
WHERE currency IN ('AUD','EUR','GBP','JPY')
ORDER BY date,currency,tenor
```

SQLite CNY独立观察曲线database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00

读取在岸人民币CNY的最新独立Carry曲线，不参与G10横截面排名。

SQL query

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='CNY' AND tenor IN ('1M','3M','6M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 ELSE 4 END

SQLite CNY周度观察历史database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00

保留CNY日度1M Carry与即期的每周最后一个有效交易日。

SQL query

WITH weekly AS (
  SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE currency='CNY' AND tenor='1M'
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency='CNY' AND tenor='1M'), '-3 years')
)
SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

SQLite HKD专用Carry曲线database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00

读取专用USD/HKD文件生成的最新完整Carry曲线，不与通用掉期表拼接。

SQL query

SELECT date,currency,tenor,spot_usd_per_ccy,forward_usd_per_ccy,
carry_annual_pct,ois_foreign_pct,ois_usd_pct,rate_diff_pct,carry_basis_pct,
policy_slope_6m_1m_pct,rv20_pct,rv60_pct,carry_to_rv20,
carry_percentile_expanding,cross_section_rank,cross_section_count,
has_ois,has_cost_data,data_status
FROM v_latest_observation_curve
WHERE currency='HKD' AND tenor IN ('1M','3M','6M','9M','1Y')
ORDER BY CASE tenor WHEN '1M' THEN 1 WHEN '3M' THEN 2 WHEN '6M' THEN 3 WHEN '9M' THEN 4 ELSE 5 END

SQLite HKD周度Carry历史database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00

从HKD专用日度1M Carry中保留最近五年的每周最后一个有效交易日。

SQL query

WITH weekly AS (
  SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM carry_metrics_daily
  WHERE currency='HKD' AND tenor='1M'
    AND date >= date((SELECT MAX(date) FROM carry_metrics_daily
                      WHERE currency='HKD' AND tenor='1M'), '-5 years')
)
SELECT date,spot_usd_per_ccy,carry_annual_pct,rv20_pct,carry_to_rv20
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400

SQLite HKD最新市场状态database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00
读取USD/HKD即期、HIBOR、SOFR与银行体系总结余的最新独立市场状态。
SQL query
```
SELECT * FROM v_hkd_latest_market
```

SQLite HKD联系汇率与流动性历史database/fx_carry_mvp.db · sqlite · 2026-07-28T07:57:28+00:00

保留最近五年USD/HKD、HIBOR、SOFR与收市总结余的周度末值。

SQL query

WITH weekly AS (
  SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct,
         ROW_NUMBER() OVER (
           PARTITION BY strftime('%Y-%W',date) ORDER BY date DESC
         ) AS rn
  FROM hkd_market_daily
  WHERE date >= date((SELECT MAX(date) FROM hkd_market_daily), '-5 years')
)
SELECT date,spot_native,closing_balance_m_hkd,hibor_1m_pct,sofr_avg_1m_pct
FROM weekly WHERE rn=1 ORDER BY date LIMIT 400