| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963376 | Journal of International Financial Markets, Institutions and Money | 2013 | 11 Pages |
Abstract
⺠We assess the viability of carry-trade as an alternative asset class. ⺠Carry-trade has low volatility and moderate correlation with other asset classes. ⺠Including carry-trade in a portfolio improves portfolio performance. ⺠Sharpe ratio, Sortino ratio, VaR, and adjusted Sharpe ratio give consistent results. ⺠Individual investors can improve portfolio performance by using carry-trade ETFs.
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Economics and Econometrics
Authors
Sougata Das, Palani-Rajan Kadapakkam, Yiuman Tse,