Carry Analysis - Small vs Large Universe
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Carry Analysis - Small vs Large Universe
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In this discussion, Adam Butler, CIO of ReSolve Asset Management Global, a seasoned expert in multi‑asset carry strategies, walks through his latest research comparing two implementations of a carry strategy. He explains the fundamentals of carry in diverse asset classes and explores a wide range of topics including carry fundamentals, market liquidity, simulation analysis, historical cycles, and portfolio strategy, all while putting recent market performance into a broader cyclical context.
Topics Discussed
• Carry strategy fundamentals and the yield dynamics across various asset classes
• Comparison between a small, highly liquid 26‑market universe and an extended universe of up to 80 markets
• Detailed statistical analysis using historical simulations and probability cones
• Examination of recent performance divergences between liquid and broader market universes
• The influential role of soft commodities and other non‑liquid market segments on carry returns
• Historical patterns of divergence and subsequent reversion in carry strategy performance
• Implications for long‑term investment strategies and tactical portfolio management