Quants tout alternative carry trades for the ‘new normal’

Rob Mannix
@RobMannix
26 Oct 2020

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The fixed income carry trade, an engine of quant investing for years, has stalled. Returns on the strategy plummeted in 2020, after the Covid-19 pandemic dragged down interest rates towards zero.

In other asset classes – notably commodities – carry has thrived. But the failure of the strategy in fixed income leaves a hole that investors are uncertain how to fill.

Quants have suggestions, though. Among them are a series of new systematic strategies that seek carry in unorthodox places.

Sandrin

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