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The calm before the storm - managing carry trade risk
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Orientador(es)
Resumo(s)
Carry trade is a speculative strategy that aims at exploiting deviations from the uncovered interest rate parity. The profitability of this strategy is well documented in the existing literature. In this thesis we study the properties of carry trade and propose a different method to manage carry trade risk by implementing the strategy with a sample of 25 currencies across 20 years of data, from 2001 to 2021. We show that managing risk increases the risk adjusted returns by more than 40% and that these results are robust across sub-samples.
Descrição
Palavras-chave
Risk management Volatility Hedge funds Carry trade