Detecting Crowded Trades in Currency Funds
“Our results suggest that carry became a crowded trading strategy towards the end of Q1 2008, shortly before a massive liquidation of carry trades.”
AssetCurrenciesfunds
StrategyCarry trademomentum
GeographyGlobalEurope
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodCarry trade by year
FamilyCarry trade17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetCurrencies13
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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