Research & Data


Many of the graphs from the Rise of Carry are recreated in the Federal Reserve Bank of St Louis’ FRED database. We have also created a spreadsheet with estimates of the historical VIX futures term structure, which is the basis for several graphs in Chapters 6 & 9.


Below are links to a few of the research papers that we have found useful in our work.  The literature on “carry” is vast and these works all contain references to a wide range of additional papers.

Carry as a Trading Strategy


Should be the starting point if you are interested in understanding “carry” as a trading strategy.  Intuitive explanation combined with technical derivation of carry returns across asset classes.  Includes backtests

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Currency Carry

Carry and the Macroeconomy


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