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.
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