The carry concept in fixed income

Maxine Elliott    FTSE Russell Global Market Research
15 Jul 2019
Categories: General Market Analysis, Other, Fixed Income, Investment Management, Investor Education

Country or region: Asia Pacific (Overall)

Summary:
The “carry trade” originally gained its popularity in the foreign exchange market. This paper presents an in-depth analysis of "carry and roll-down", a comparable concept in the bond market.

This report qualifies for 1 CE credit under the guidelines of the CFA Institute Continuing Education Program. 
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Abstract

 
As a well-known concept to practitioners and academics, carry has been leveraged in the currency markets for decades. With the understanding of such FX carry trades becoming established, recent academic publications have explored this concept cross-markets and showcased evidence of the carry premium across other asset classes.

This paper, which is the second in the series of Fixed Income Factor Research, provides an in-depth analysis of the carry concept in bond markets. Unlike in our previous paper on value, The Value Effect, the carry factor discussed here has no direct equity counterpart, instead deriving from fixed income concepts only and more specifically the yield curve.

Read this new paper for more information about:

  • The “carry and roll-down” concept in fixed income
  • Targeting carry in sovereign markets
  • Extending to corporate bonds.
  • Real world utilization.  And more….



Date of original publication:

05/31/2019


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