Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
FX carry trades are staging a comeback. But quants are far from upbeat about the chances it will last.
A strong US dollar, weak yen, and diverging central bank policies have turbocharged returns. Yet buy-siders and analysts say the strategy’s fundamental drivers remain blunted, and the current favourable conditions may reverse.
“Just because the FX carry strategy is picking up performance doesn’t mean it’s back on a persistent basis,” says Umberto Alvisi, head of quantitative investments at
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