Harvesting Global Carry

Campbell white paper series − June 2017

SUSAN ROBERTS, CFA, CAMPBELL & COMPANY

Many sophisticated quantitative investment managers employ systematic carry strategies in their portfolios, yet they remain poorly understood by the investing public due to a tendency to overgeneralize from a limited set of specific examples. Carry strategies are, in fact, a general class of investment opportunities, and can capture a wide array of phenomena in futures and forward markets. In this paper, we will explore three different types of carry trades, including relative value and directional...

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