Risk-adjusted return managed carry trade

被引：7
|
作者：
Dupuy, Philippe [1 ]
机构：
[1] Grenoble Ecole Management, F-38000 Grenoble 01, France
来源：
JOURNAL OF BANKING & FINANCE | 2021年 / 129卷
关键词：
Exchange rate; Carry trade; Portfolio; Risk premium; IDIOSYNCRATIC RISK;
D O I：
10.1016/j.jbankfin.2021.106172
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We propose a simple dynamic currency carry trade strategy. Implementation of this strategy requires only two indicators: the aggregate forward discount and historic, global foreign exchange volatility. We find that our dynamic strategy delivers a significantly higher Sharpe ratio and greater skewness than a benchmark carry trade strategy. Our results are robust to the time period and currency choices. Both indicators contribute to predictability, and the improvement in performance is visible in both good and bad times. Standard risk factor models are unable to fully explain the returns of this augmented carry trade. 0 2021 Elsevier B.V. All rights reserved.
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收藏
页数：20
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