Daily BriefsQuantitative Analysis

Daily Brief Quantitative Analysis: Is the Carry Trade a Diversifying Strategy? and more

In today’s briefing:

  • Is the Carry Trade a Diversifying Strategy?

Is the Carry Trade a Diversifying Strategy?

By Nicolas Rabener

  • The carry trade was positive across most asset classes in YTD 2022
  • And the correlations to the S&P 500 were low historically
  • However, the carry trade crashed when stocks crashed, ie provided limited diversification benefits

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