Carry Trade and Systemic Risk: Why are FX Options so Cheap?
In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy —i.e., the strategy...
| Main Authors: | , |
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| Format: | Working Paper |
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Cambridge, MA: Department of Economics, Massachusetts Institute of Technology
2013
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| Online Access: | http://hdl.handle.net/1721.1/76719 |