epub Cross-Asset Carry: Systematic Harvesting in Bonds, FX, and Commodities
por Callum R. Ashton
Descrição do livro
Carry is one of the most intuitive ideas in markets and one of the easiest to misunderstand in practice. This book is written for quantitative investors, portfolio managers, researchers, and advanced practitioners who want a rigorous, tradable framework for harvesting carry across asset classes rather than treating bonds, FX, commodities, and equities as separate silos. It speaks directly to readers building systematic strategies that must survive contact with market plumbing, transaction costs, leverage, and regime change.
The book develops a unified definition of carry and then shows how it appears in bond roll-down, FX interest-rate differentials, commodity term structure, and equity dividend yield. Readers learn how to decompose returns, standardize signals across instruments, design robust backtests, and combine carry with sensible filters. From there, the focus shifts to portfolio construction: volatility targeting, covariance estimation, risk budgeting, optimization, and cross-asset integration. A major emphasis is placed on the Achilles’ heel of carry strategies—crash risk—with practical tools for stress testing, de-risking, hedging, and liquidity survival.
What distinguishes this guide is its practitioner orientation. It connects theory to implementation through market conventions, execution realities, monitoring, and governance, giving readers a complete research-to-production blueprint.
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