

Carry Analysis - Small vs Large Universe
Apr 7, 2025
Dive into the fascinating world of carry strategies as an expert unravels the dynamics of yields across diverse asset classes. Discover the stark differences between highly liquid markets and a broader selection, revealing intriguing performance divergences. With detailed statistical analyses and historical patterns, the discussion sheds light on how soft commodities impact returns. Tune in for insights into long-term investment strategies and the potential for market reversals amid current challenges.
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Carry Strategy Comparison
- Two carry strategy implementations exist: one uses a small set of liquid markets, the other a broader, less liquid universe.
- These approaches have recently diverged in performance, prompting investigation.
Liquid Carry Strategy Drawdown
- The liquid market carry strategy is experiencing a significant drawdown of around 20%.
- This raises questions about the strategy's validity in current market conditions.
Statistical Significance of Drawdown
- Analysis using simulated returns since 1990 shows the current drawdown is statistically unusual.
- The current performance falls within the lowest 1% probability band based on historical simulation.