This has been talked about before. This method involves taking 10 of the most liquid currencies and going long the 3 with the highest interest and short the 3 with the lowest. Rebalance quarterly 2:1 leverage. This is what the Powershares ETF "DBV" aims to do with est. 0.81% fee. http://www.dbfunds.db.com/dbv/index.aspx Questions: 1) If you were to do this yourself would you use futures or Forex? Pros and cons of each. Which is more margin intensive? 2) Apparently this has worked in the past - check out the prospectus. Will it work in the future - who knows? Some around here have said "No way!" but I have yet to read an argument to back this up. Ain't saying there isn't a good argument against the carry trade, maybe I've just missed it. I don't like that 2006 is the worst year for this strategy since it's historic backtest to 1994. Is the system broke?