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Quantitative Finance · Glossário

O que é Diversified carry?

Definition 20.2 Strategies I: Equities and Futures · Capítulo 20 — Carry Across Asset Classes

Diversified carry is a portfolio of carry strategies in several asset classes, each scaled to a similar risk, which earns the carry premia of all classes at a volatility lower than any one, as long as their returns are not correlated.

Carry books on the synthetic universe, thirty years: Sharpe ratios after costs by class and for the diversified book, when half of each market’s carry is earned as expected return and when all of it is. Data: s1_carry.summary.
Figure 20.1. Carry books on the synthetic universe, thirty years: Sharpe ratios after costs by class and for the diversified book, when half of each market’s carry is earned as expected return and when all of it is. Data: s1_carry.summary.
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