Carry

Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen, Evert B. Vrugt

Publikation: Working paperForskning

Abstrakt

A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes that include global equities, global bonds, currencies, commodities, US Treasuries, credit, and equity index options. This predictability underlies the strong returns to "carry trades" that go long high-carry and short low-carry securities, applied almost exclusively to currencies, but shown here to be a robust feature of many assets. We decompose carry returns into static and dynamic components and analyze the economic exposures. Despite unconditionally low correlations across asset classes, we find times when carry strategies across all asset classes do poorly, and show that these episodes coincide with global recessions.
OriginalsprogEngelsk
Udgivelses stedCambridge, MA
UdgiverNational Bureau of Economic Research (NBER)
Antal sider63
DOI
StatusUdgivet - aug. 2013
NavnNational Bureau of Economic Research. Working Paper Series
Nummer19325
ISSN0898-2937

Citationsformater

Koijen, R. S. J., Moskowitz, T. J., Heje Pedersen, L., & Vrugt, E. B. (2013). Carry. National Bureau of Economic Research (NBER). National Bureau of Economic Research. Working Paper Series, Nr. 19325 https://doi.org/10.3386/w19325