AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
2min snip
Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
Flirting with Models
Measuring Carry
Measuring carry in bonds involves considering the term structure and the implied appreciation of yields. The price appreciation becomes part of the carry measure. The carry measure also includes financing costs. Using the forward rate instead of today's rate makes more sense as it accounts for expected monetary policy. However, it's important to note that these expectations may still be wrong at turning points. Last year, using today's yield curve to inform the carry measure resulted in inaccurate metrics as it didn't price in the expected rate hikes. Therefore, using the forward rate is a crucial lesson learned for measuring carry in bonds.
00:00
Transcript
Episode notes
Get the Snipd
podcast app
Unlock the knowledge in podcasts with the podcast player of the future.
AI-powered
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode
Save any
moment
Hear something you like? Tap your headphones to save it with AI-generated key takeaways
Share
& Export
Send highlights to Twitter, WhatsApp or export them to Notion, Readwise & more
AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode