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We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with risk …

Evidence is found that drawdown duration varies systematically with the expected return from the carry trade at the onset of the drawdown, financial stress indicators and the magnitude of …

We examine carry trade returns formed from the G10 currencies. Performance attributes depend on the base currency. Dynamically spread-weighting and risk-rebalancing positions improves …

Autocorrelation and heteroskedasticity consistent standard errors from GMM are in parentheses. Table 13: Hedged Carry Trade Exposure to Bond Risks. Description: This table presents …

Abstract We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with …

Introduction A carry strategy involves repeatedly taking advantage of the difference between a spot price and a forward price, or more generally between two forward prices, for a single …

Why having an adaptable carry strategy is important in a time of risk aversion Although carry is a popular trading strategy in the currency markets, one of its downfalls is that it tends to rely on …

What’s Next? From a technical perspective, the risk of additional selling pressure appears elevated. Market bottoms are often a process and begin to form after oversold conditions …

Jun 9, 2018 · Also, all the other features of the carry PnL have been preserved: downside skew, large crisis-related drawdown, 75% positive correlation with global directional risk and lack of …

The study also assesses the economic benefits from timing the carry factor. It shows that the carry spread is useful to time carry in certain asset classes, whereby timing strategies can be an …