FX Carry Reportsee more…

  1. US Dollar Carry Strategy Outperforms

    Bilal Hafeez and Ben Ford

    US Dollar Carry diversified our strategy returns over the past week, we had previously noted its tendency to hedge FX carry strategy losses.

  2. Classic Carry Outperforms on JPY Weakness

    Bilal Hafeez and Ben Ford

    Classic Carry outperformed the alternative strategies over the past week, it returned +0.7% WoW, aided by the short side of the strategy where JPY dropped 1.8% WoW.

  3. COP Aids Classic Carry Outperformance

    Bilal Hafeez and Ben Ford

    Classic Carry outperformed the alternative strategies over the past week, it returned +1.6% WoW. It was aided by strong returns from high-yielding currencies...

  1. A New Strategy to Help Hedge Carry Trade Returns

    Bilal Hafeez and Ben Ford

    We added a fourth carry strategy to our tracker, the US Dollar Carry Strategy. It goes short G10 against USD when their average three-month implied yields are less than USD...

  2. BRL Strength Supports Carry Strategy Returns

    Bilal Hafeez and Ben Ford

    Our three carry strategies saw mixed performance over the past week. Classic Carry gained 1.0% WoW, Carry:Vol dropped 0.2% WoW, while Carry:Equity was flat.

  3. Carry Strategies Modestly Down

    Bilal Hafeez and Ben Ford

    Recent positive performance of our three carry strategies somewhat moderated this week. Classic Carry dropped 0.6% WoW while Carry:Vol and Carry:Equity dropped 0.3% .

Carry Strategies Continue to Perform Well

Bilal Hafeez and Ben Ford

Our three carry strategies continued to trend higher. Carry:Vol was the outperformer this week, returning +1.7% WoW, while the Classic Carry and Carry:Equity strategies returned +1.2% and +1.1% WoW.

Carry:Vol Returning +10.1% YTD

Bilal Hafeez and Ben Ford

Our three carry strategies pared back recent gains in an overall poor week for FX (Chart 4). Over the past week the Classic Carry lost 2.5%...

  1. Short CHF Exits Carry:Equity Strategy

    Bilal Hafeez and Ben Ford

    We previously removed RUB from our indices given its current lack of deliverability. We retain its historic performance and continue to include it in comparative measures.

  2. Carry:Equity Up 8% Over Past Month

    Bilal Hafeez and Ben Ford

    All three of our carry strategies have continued to perform well. Over the past week, the Classic Carry and Carry:Equity strategies returned 1.5% while the Carry:Vol strategy returned 1.1%.

  3. Carry Strategies Continue to Gain

    Bilal Hafeez and Ben Ford

    Last week saw strong performance across our carry strategies. All three of our strategies returned over 1% WoW, continuing a positive trend.

Classic Carry Returns 2% Over Past Week

Bilal Hafeez and Ben Ford

We previously removed RUB from our indices given its current lack of deliverability. However, we retain its historic performance and continue to include it in comparative measures.

Carry:Equity Returns 5% Since the Invasion of Ukraine

Bilal Hafeez and Ben Ford

We previously removed RUB from our indices given its current lack of deliverability. However, we retain its historic performance and continue to include it in comparative measures...

  1. Carry:Vol Outperforms Over the Past Year

    Bilal Hafeez and Ben Ford

    We removed RUB from our indices last week given its current lack of deliverability. We do however retain its historic performance and continue to...

  2. Carry Strategies Recover After Exclusion of RUB

    Bilal Hafeez and Ben Ford

    We have removed RUB from our indices given its current deliverability. We do however retain its historic performance and continue to...

  3. Classic Carry Returns Underperform as RUB Tumbles

    Bilal Hafeez and Ben Ford

    The past week has seen the carry:vol (+0.4%) and carry:equity (+0.3%) strategies outperform the classic carry (-5.6%) (Table 1). The collapse...

TRY Replaces INR as Most Attractive Carry Currency

Bilal Hafeez and Ben Ford

The past week has seen the carry:equity (+0.8%) and carry:vol (+0.6%) strategies outperform the classic carry (-0.2%) (Table 1). RUB...

FX Carry Returns Bouncing Back

Bilal Hafeez and Ben Ford

Over the past week all three carry strategies are up (Table 1). The classic carry and carry:equity strategies are up 1.8%, and carry:vol...

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