Search results
The Carry Trade: Risks and Drawdowns Kent Daniel, Robert J. Hodrick, and Zhongjin Lu NBER Working Paper No. 20433 August 2014 JEL No. F31,G12,G15 ABSTRACT We examine carry trade returns formed from the G10 currencies. Performance attributes depend on the base currency.
The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself Òscar Jordà and Alan M. Taylor NBER Working Paper No. 15518 November 2009, Revised November 2009 JEL No. C44,F31,F37,G14,G15,G17 ABSTRACT The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies.
- Òscar Jordà, Òscar Jordà, Alan M. Taylor, Alan M. Taylor, Alan M. Taylor
- 2012
People also ask
What is a carry trade?
When is a carry trade protable?
What is the carry trade in international currency markets?
What is a currency carry trade strategy?
Mar 11, 2016 · A carry trade is an investment in a high interest rate currency that is funded by borrowing in a low interest rate currency. The `carry' is the ex-ante observable positive interest di erential. Returns to the carry trades are uncertain because the exchange rate between the two currencies may change.
- 462KB
- 62
Dec 8, 2015 · First published: 08 December 2015. https://doi.org/10.1002/9781119212997.ch18. PDF. Tools. Share. Summary. The leverage carry trade strategy is the quintessential global macro trade that has long been one of the favorite strategies of hedge funds and investment banks.
Sep 1, 2012 · We examine profits in- and out-of-sample from Naïve carry trades and other currency strategies. We look at periods up to and including the recent financial crisis. Tests (including a new correct classification frontier) assess accuracy and profitability. An augmented trading strategy with value and momentum contains valuable predictive i...
Sep 5, 2017 · PDF | We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly... | Find, read and cite all the...
