Is carry-trade a viable alternative asset class?

► We assess the viability of carry-trade as an alternative asset class. ► Carry-trade has low volatility and moderate correlation with other asset classes. ► Including carry-trade in a portfolio improves portfolio performance. ► Sharpe ratio, Sortino ratio, VaR, and adjusted Sharpe ratio give consistent results. ► Individual investors can improve portfolio performance by using carry-trade ETFs.