Getting the carry trade's jackpot: finding indicators of carry crash
Autor(a) principal: | |
---|---|
Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/15775 |
Resumo: | This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades |
id |
RCAP_0df1a1654181e360c59b4488a08511f5 |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/15775 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Getting the carry trade's jackpot: finding indicators of carry crashCarry tradeG10 currenciesDrawdown analysisRegime indicatorsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry tradesSilva, André CastroBorri, NicolaRUNLaranjo, Vasco Polónia Marques2015-11-05T15:24:23Z2015-062015-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15775TID:201473070enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:52:08Zoai:run.unl.pt:10362/15775Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:47.906033Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Getting the carry trade's jackpot: finding indicators of carry crash |
title |
Getting the carry trade's jackpot: finding indicators of carry crash |
spellingShingle |
Getting the carry trade's jackpot: finding indicators of carry crash Laranjo, Vasco Polónia Marques Carry trade G10 currencies Drawdown analysis Regime indicators Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Getting the carry trade's jackpot: finding indicators of carry crash |
title_full |
Getting the carry trade's jackpot: finding indicators of carry crash |
title_fullStr |
Getting the carry trade's jackpot: finding indicators of carry crash |
title_full_unstemmed |
Getting the carry trade's jackpot: finding indicators of carry crash |
title_sort |
Getting the carry trade's jackpot: finding indicators of carry crash |
author |
Laranjo, Vasco Polónia Marques |
author_facet |
Laranjo, Vasco Polónia Marques |
author_role |
author |
dc.contributor.none.fl_str_mv |
Silva, André Castro Borri, Nicola RUN |
dc.contributor.author.fl_str_mv |
Laranjo, Vasco Polónia Marques |
dc.subject.por.fl_str_mv |
Carry trade G10 currencies Drawdown analysis Regime indicators Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Carry trade G10 currencies Drawdown analysis Regime indicators Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-11-05T15:24:23Z 2015-06 2015-06-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/15775 TID:201473070 |
url |
http://hdl.handle.net/10362/15775 |
identifier_str_mv |
TID:201473070 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799137866042834944 |