Thursday, April 11, 2013


The Returns to Carry and Momentum Strategies

By Jan Danilo Ahmerkamp and James Grant of Imperial College Business School

The authors find that global time series carry strategies (across bonds, commodities, currencies, equities and metals) can be explained by a set of lagged macroeconomic variables. The payoffs to carry strategies disappear once futures returns are adjusted for their predictability based on these macroeconomic variables. On the other hand, momentum strategies are only weakly affected by lagged macroeconomic variables but are significantly related to measures of hedge fund capital flow.

Download the full article here.

From the April 2013 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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