Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4 documents
The document explains a currency carry trade: borrow or short currencies with relatively low central bank rates and hold currencies with relatively high rates, aiming to earn the interest-rate differential. Its simple example forms a universe of 10–20…
This document explains a cross-sectional commodity carry strategy that ranks futures by roll returns, buys the strongest contracts, and shorts the weakest. Its simple monthly example equally weights the top and bottom quintiles and holds the positions for…
The dollar carry trade uses the average forward discount of a basket of developed-market currencies relative to the US three-month Treasury rate to choose a currency position. If the US rate exceeds the basket’s average forward discount, the strategy goes…
This document presents a foreign-exchange value strategy that uses purchasing power parity (PPP) to compare currencies with estimated fair values. The suggested universe contains 10–20 currencies. Using the latest OECD PPP figure and monthly CPI and…