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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Carry trade past and now: Is 2008 really a turning point? |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 86 |
| Date | 2023 |
| Abstract Text | I conduct a longitude study of the carry trade with 2008 as the cutting point. Employing a sample with 17 currencies and over 30 years since 1993, I find that the basic carry trade strategy with G10 currencies does underperform after 2008 relative to itself before 2008 and relative to the market. I demonstrate that refined carry strategies including basic carry with an extended currency basket, carry momentum, and volatility-adjusted carry can avoid this downturn. I observe that overall traditional risk factors fail to explain the excess return of the carry trade. However, I show that during certain periods more significance can be observed, and higher returns are associated with a lower and more negative correlation with the market. Keywords: Carry, Momentum, Investment Strategy, Factor Model |
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