Logo
Insights Logo
Journal Articles
Complimentary CONTENT

Carry On

September 1, 2019
By: Megan Czasonis, Baykan Pamir, David Turkington, State Street Associates

By Megan Czasonis, Baykan Pamir, and David Turkington

Published in the Journal of Alternative Investments, Fall 2019

We investigate features of carry returns that contributed to the strategy’s performance in the decades prior to the 2008 global financial crisis, and evaluate whether these features have changed in the years following the crisis.

Author Bios
Megan Czasonis
Megan Czasonis is a Managing Director and Head of Portfolio Management Research at State Street Associates. The Portfolio Management Research team collaborates with academic partners to develop new research on asset allocation, risk management, and investment strategy. The team delivers this research to institutional investors through indicators, advisory projects, and thought leadership pieces. Megan has co-authored various journal articles and works closely with institutional investors to develop customized solutions based on this research. Megan graduated Summa Cum Laude from Bentley University with a B.S. in Economics / Finance.
Baykan Pamir
David Turkington
David Turkington is Senior Managing Director and Head of State Street Associates, State Street Markets’ decades-long partnership with renowned academics that produces innovative research on markets and investment strategy. David is a frequent presenter at industry conferences, has published more than 40 research articles in a range of journals, and serves on the editorial board of the Journal of Alternative Investments. He is the co-author of three books including “Asset Allocation: From Theory to Practice and Beyond” and “Prediction Revisited: The Importance of Observation.” His published research has received the 2010 Graham and Dodd Scroll Award, five Bernstein-Fabozzi/Jacobs-Levy Outstanding Article Awards, the 2013 Peter L. Bernstein Award for best paper in an Institutional Investor journal, the 2021 and 2023 Roger F. Murray First Prize for outstanding research presented at the Q Group seminars, and the 2022 and 2023 Harry Markowitz awards for best paper in the Journal of Investment Management.
State Street Associates
State Street Logo
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.