13. Currency Carry

  1. Antti Ilmanen

Published Online: 25 MAY 2012

DOI: 10.1002/9781118467190.ch13

Expected Returns: An Investor's Guide to Harvesting Market Rewards

Expected Returns: An Investor's Guide to Harvesting Market Rewards

How to Cite

Ilmanen, A. (2011) Currency Carry, in Expected Returns: An Investor's Guide to Harvesting Market Rewards, John Wiley & Sons, Ltd., Chichester, West Sussex, UK. doi: 10.1002/9781118467190.ch13

Publication History

  1. Published Online: 25 MAY 2012
  2. Published Print: 21 MAR 2011

ISBN Information

Print ISBN: 9781119990727

Online ISBN: 9781118467190

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Keywords:

  • high-yielding currencies;
  • yield-seeking carry trading;
  • Australian dollar;
  • uncovered interest parity hypothesis;
  • emerging markets

Summary

This chapter contains sections titled:

  • Introduction

  • Historical average returns

  • Improvements/refinements to the baseline carry strategy

  • Why do carry strategies work?

  • Carry here, carry there, carry everywhere

  • Notes