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Journal Article

Carry

An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.

Bibliography

Carry Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around carry investing.

Working Paper

Carry Trades and Currency Crashes

Is there a strong link between a currency carry strategy and crash risk? We find that investing in high-interest-rate currencies while borrowing in low-interest-rate currencies delivers negatively skewed returns.