TY - JOUR T1 - Trading the Forward Rate Puzzle JF - The Journal of Alternative Investments SP - 58 LP - 61 DO - 10.3905/JAI.2009.11.3.026 VL - 11 IS - 3 AU - Momtchil Pojarliev Y1 - 2008/12/31 UR - https://pm-research.com/content/11/3/58.abstract N2 - The recent interest in the asset management industry towards "portable alpha" has made currencies more attractive than ever as an asset class. One of the most attractive features of managing currencies within an investment portfolio is that currency returns come on top of, and not instead of, those from other assets. However, there is a large discrepancy between what is consensus within academic literature and what is applied by investment professionals. There are many different styles in currency management, such as valuation, trend-following, and the carry strategy. This article evaluates the performance of three carry rules for the most traded developed currency pairs over the last 10 years. It compares the performance of the carry strategies with the performance of currency managers. The results show that the carry strategy continued to perform well over the last 10 years and especially in the post-2000 period. TOPICS: Currency, global, performance measurement ER -