Larry Swedroe: Carry Trade Caveats

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Random Walker
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Larry Swedroe: Carry Trade Caveats

Post by Random Walker » Fri Nov 09, 2018 10:48 am

https://www.etf.com/sections/index-inve ... nopaging=1

Currency carry trade has a long history. Carry can be appplied to other asset classes as well. The return distribution of carry shows negative skew and kurtosis. Investors demand a substantial premium for investments that do especially poorly in bad economic times. Carry is one of the styles used in the AQR funds frequently discussed. By diversifying this style across different asset classes, the fat left tail gets lessened. This was a pretty high end article for me; will have to read it a couple more times.

Dave

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