fx_carry
Lustig-Verdelhan (2007) AER — Carry trade premium: high interest rate currencies outperform low rate by ~8%/yr
Rolling Sharpe
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90-day rolling window
Drawdown
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peak-to-trough
Win Rate
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0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Lustig-Verdelhan (2007) AER — Carry trade premium: high interest rate currencies outperform low rate by ~8%/yr
Supported Markets
FX
State Transition History
No state changes recorded yet