Just curious if anyone would share their carry trade strategy.
Anyone doing the carry trade?
- Thread starter eaglefeather
- Start date
You should check out globalarbtrader thread. He combines carry and momentum in his trades.
https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/
Carry usually associated with currency, which DBV is. But Carry factor can be everywhere.
https://jacobslevycenter.wharton.upenn.edu/wp-content/uploads/2014/06/Carry.pdf
DBV can also prey to front running, because of fixed dates which rolls over. Also I just looked at DBV profile. It rebalances once a year which is strange. By this time any carry returns probably would dissipate.
https://jacobslevycenter.wharton.upenn.edu/wp-content/uploads/2014/06/Carry.pdf
DBV can also prey to front running, because of fixed dates which rolls over. Also I just looked at DBV profile. It rebalances once a year which is strange. By this time any carry returns probably would dissipate.
Last edited:
Say what? DBV trades G10 forex, which is massively liquid in tom/next. DBV is a drop in the bucket.
You are right. Their float is tiny. Any insight on their rebalancing. It seems strange to rebalance once a year for carry strategy.
They are not trading spot. They are using currency futures. This is from current prospectus.
When i said rebalancing constituents, they are assuming current carry holds good for next year. Most of the studies, I have seen for carry and momentum strategies rebalances monthly.
The futures piggyback off the spot market liquidity. The HFT community heavily arbs the two.
Faster rebalance matters for mometum, but very little for fx carry. Rate differentials are slow-moving, e.g. AUD has been a high-yielder for years.