Daniel, Kent D.
[Verfasser:in]
;
Hodrick, Robert J.
[Sonstige Person, Familie und Körperschaft];
Lu, Zhongjin
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Critical Finance Review, forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 11, 2016 erstellt
Beschreibung:
We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In contrast, a diversified dollar-carry portfolio has a higher average excess return, a higher Sharpe ratio, minimal skewness, is uncorrelated with standard risk-factors, and exhibits no downside risk. Distributions of drawdowns and maximum losses from daily data indicate a role for time-varying autocorrelation in determining negative skewness at longer horizons