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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Can the Carry Trade Strategy be improved by adding Value and Momentum?
Organization Unit
Authors
  • Jonas Fässler
Supervisors
  • Thorsten Hens
  • Alexander Thoma
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 62
Date April 2017
Abstract Text The Carry Trade Strategy is well documented in the finance literature and was highly profitable over the last decades. Since the financial crisis in 2007/2008, the returns diminished and the strategy underperformed many other strategies. In order to improve the performance and risk measurements, additional currency signals are developed such as Value and Momentum. The value signal potentially avoids investing in highly overvalued currencies, which tend to depreciate in the future and the momentum signal avoids investing into highly depreciating currency which depreciate even further. Combining the three pillars of profitable currency investing leads to a strategy, which better performs and has better risk figures. The newly developed strategy is in contrast to the standard Carry Trade Strategy independent from the S&P 500, which implies a large value added when including into an equity portfolio.
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