Carry On
By Megan Czasonis, Baykan Pamir, David Turkington, State Street Associates
Sep 1, 2019

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.

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