Abstract
In this article, we compare the risk-return profile of simple currency carry trades and optimized carry trades. We conclude that optimized currency carry trades offer impressive returns with significantly less volatility than other carry trades, hence achieving a higher information ratio. We also compare the ex-post currency trade performance using different volatility models and find that the implied volatility does a better job in terms of the realized information ratio and tracking error forecasting.
- © 2002 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600