A Comparison Between Active and Passive Carry Trades Gianinazzi Teo

ISBN: 9783639477597

Published: November 4th 2013

Paperback

124 pages


Description

A Comparison Between Active and Passive Carry Trades  by  Gianinazzi Teo

A Comparison Between Active and Passive Carry Trades by Gianinazzi Teo
November 4th 2013 | Paperback | PDF, EPUB, FB2, DjVu, talking book, mp3, RTF | 124 pages | ISBN: 9783639477597 | 10.68 Mb

This book compares the performances of a carry trade strategy with passive management of the carry trade portfolio to other strategies that imply an active management of the carry trade portfolio through the support of one or more indicators.

TheMoreThis book compares the performances of a carry trade strategy with passive management of the carry trade portfolio to other strategies that imply an active management of the carry trade portfolio through the support of one or more indicators. The study takes into account the period from January 1990 to December 2012, using the G10 currencies as currency set for the construction of the carry trade portfolios. The comparison was done considering different scenarios which were all applied to the different carry trade strategies.

In the perfect world scenarios the results suggested that actively managed carry trades significantly outperform the passively managed carry trade. The introduction of transaction costs in a more realistic scenario however, significantly reduced the attractiveness of actively managed carry trades.



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