In “Optimising Cross-Asset Carry,” Nick Baltas extends the concept of the carry trade beyond currency markets to include commodities, equity indices, and government bonds. Baltas investigates how systematically capturing carry across multiple asset classes can enhance portfolio diversification and improve risk-adjusted returns.
The paper “Carry” by Koijen, Moskowitz, Pedersen, and Vrugt provides a comprehensive examination of the carry trade across various asset classes, establishing a unified framework that extends beyond traditional applications.
The whitepaper offers a thorough analysis of the economic rationale behind carry strategies and examines their potential role in enhancing portfolio performance and diversification.