Carry Trade: The Gains of Diversification
从个体交易者视角，实证了跨货币分散化套息交易能显著提升夏普比率（超50%），对从事外汇投机或资产配置的投资者有直接参考价值。
Market participants routinely take advantage of the failure of uncovered interest rate parity to speculate in currency markets. Perhaps the most widely used currency speculation strategy is the carry trade. In this article we take the perspective of an individual currency trader and document the gains to diversifying the carry trade across different currencies. We show that these gains are large. Diversification boosts the typical Sharpe ratio by over 50%.