This book compares the performances of a carry trade strategy with
passive management of the carry trade portfolio to other strategies
that imply an active management of the carry trade portfolio
through the support of one or more indicators. The study takes into
account the period from January 1990 to December 2012, using the
G10 currencies as currency set for the construction of the carry
trade portfolios. The comparison was done considering different
scenarios which were all applied to the different carry trade
strategies. In the perfect world scenarios the results suggested
that actively managed carry trades significantly outperform the
passively managed carry trade. The introduction of transaction
costs in a more realistic scenario however, significantly reduced
the attractiveness of actively managed carry trades.
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