RT Journal Article
SR Electronic
T1 Optimize Currency Carry Trades
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 36
OP 44
DO 10.3905/jai.2002.319030
VO 4
IS 4
A1 Tao Huang
YR 2002
UL https://pm-research.com/content/4/4/36.abstract
AB 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.