Anyone doing the carry trade?

Discussion in 'Forex' started by eaglefeather, Oct 19, 2017.

  1. Just curious if anyone would share their carry trade strategy.
     
  2. atrp2biz

    atrp2biz

    I don't think retailers get the same interest rates as the wholesalers to be able to do this.
     
  3. srinir

    srinir

  4. truetype

    truetype

    Carry is one of many "used to work" strategies. Look at the long-term chart of DBV.
     
  5. srinir

    srinir

    Last edited: Oct 20, 2017
  6. truetype

    truetype

    Say what? DBV trades G10 forex, which is massively liquid in tom/next. DBV is a drop in the bucket.
     
  7. srinir

    srinir

    You are right. Their float is tiny. Any insight on their rebalancing. It seems strange to rebalance once a year for carry strategy.
     
  8. truetype

    truetype

    My point is "rebalancing" G10 spot forex is trivial -- there's an ocean of liquidity. It isn't like rolling commodity futures.
     
  9. srinir

    srinir

    They are not trading spot. They are using currency futures. This is from current prospectus.
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    When i said rebalancing constituents, they are assuming current carry holds good for next year. Most of the studies, I have seen for carry and momentum strategies rebalances monthly.
     
  10. truetype

    truetype

    The futures piggyback off the spot market liquidity. The HFT community heavily arbs the two.
    Faster rebalance matters for mometum, but very little for fx carry. Rate differentials are slow-moving, e.g. AUD has been a high-yielder for years.
     
    #10     Oct 20, 2017
    i960 and srinir like this.