Suppose 6 months ago a British investor bought a 6-month Canadian Treasury bill at a price of $9,708.74, with a maturity value of $10,000. The exchange rate at that time was 1.9516 dollars per pound. Today, at maturity, the exchange rate is 2.0751 dollars per pound. What is the annualized rate of return to the British investor?

Question

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The investor initially paid £4,975.13 (9708.74 / 1.9516) and received £4,819.73 (10,000 / 2.0751) at maturity. The loss is £155.40, which is a -3.12% return over 6 months. Annualizing this gives -6.26%.

Suppose 6 Months Ago a British Investor Bought a 6-Month