Enhanced Carry Trades - A new Approach in Asset Management and Trading

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Projektart und Laufzeit

Dissertation, Februar 2014 bis Februar 2018 (abgeschlossen)

Koordinator

Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement

Forschungsschwerpunkt

Wealth Management

Forschungsgebiet/e

Banking and Finance

Beschreibung

Standard carry trades sell low-yield currencies and buy high-yield currencies. The trading idea is to capture the interest rate differential between currencies. The unique selection criterion of carry trades is the corresponding yield of various currencies.
This cumulative dissertation discusses a new approach of carry trades. The approach of this dissertation expands the selection criterion by foreign exchange (FX) variation. This extension is necessary, as the FX variation is the main source of risk and the FX dynamic can ruin the profitability. Additionally, the dissertation project discusses the diversification effect of carry trades for an institutional investor and the predictability of currency returns.
The aim of this dissertation is to introduce a new carry trade strategy, which is more robust against FX risk, and to show the benefits of this carry trade strategy for an institutional investor.

Schlagworte

Carry trade, Diversifikation, Fremdwährung

Publikationen

  • Reichenecker, J. A. (2018). Standard and optimized carry trades. International Journal of Finance & Economics, 23(3), 329-344.

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  • Reichenecker, J. A. (2017). Diversification effect of standard and optimized carry trades. European Journal of Finance, 25(8), 34. (ABDC_2016: B; ABDC_2019: A; ABS_2018: 3; ISI_2016: 0.795; ISI_2016_5year: 1.136; VHB_3: B)

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  • Reichenecker, J. A., & et. al. (2017). Increasing the Discoverability of non-English Language Research Papers: A Reverse-Engineering Application of the Pitching Research Template. SSRN Electronic Journal.

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  • Barroso, P., Menichetti, M., & Reichenecker, J.-A. (2017). Hedging with an Edge: Parametric Currency Overlay. Paper presented at the 30th Australasian Finance and Banking Conference 2017, Sydney.

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  • Reichenecker, J. A. (2016). Diversification Effect of Naive and Optimized Carry Trades. Paper presented at the 9th International Accounting & Finance Doctoral Symposium, Glasgow, UK.

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  • Reichenecker, J. A. (2016). Diversification Effect of Naive and Optimized Carry Trades. Paper presented at the 9th Finance Conference of the Portuguese Finance Network, Covilhã, Portugal.

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  • Reichenecker, J. A. (2015). Naive and Optimized Carry Trades and Their Sensitivities to Interest Rates. Paper presented at the Southern Finance Association, Captiva Island, Florida.

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  • Reichenecker, J. A. (2015). Diversification Effect of Naive and Optimized Carry Trades. Paper presented at the 28th Australasian Finance and Banking Conference, Sydney, Australia.

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  • Barroso, P., Reichecker, M. R., & Reichenecker, J. A. (2019). Let the Parametric Phoenix Fly.

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  • Reichenecker, J. A. (2014). Currency Carry Trade Portfolios and their Sensitivity to Interest Rates.

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