Global FX carry trades, where one buys the highest interest rate currencies and sells thelowest interest rate currencies across G10 and EM, have had a torrid time since 2008. Using DB’s global harvest carry index as the benchmark, they averaged 12% above cashbefore 2008, then suffered a 22% loss in 2008. They bounced back strongly in 2009 withan 18% gain, but have had a poor run since; averaging -1%.
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