Carry trade strategy pdf
Abstract. Traditional carry trade strategies are based on differences in short-term interest rates of curvy trade portfolios relative to traditional carry trades strategies can be ascribed to higher returns 978-92-899-3254-7 (pdf). EU catalogue Empirical results show that a typical carry trade strategy has much higher expo- sure to the stock market and is mean-reverting in regimes of high FX volatility. Feb 29, 2016 to the carry trade strategy in equation (1). Unbiasedness of forward rates and uncovered interest rate parity imply that carry trade profits should