FX carry trades are staging a comeback. But quants are far from upbeat about the chances it will last.
A strong US dollar, weak yen, and diverging central bank policies have turbocharged returns. Yet buy-siders and analysts say the strategy’s fundamental drivers remain blunted, and the current favourable conditions may reverse.
“Just because the FX carry strategy is picking up performance doesn’t mean it’s back on a persistent basis,” says Umberto Alvisi, head of quantitative investments at
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
