Good Carry, Bad Carry
将十国集团货币的利差交易分为“好”与“坏”两类，发现好的交易夏普比率更高且有时收益偏度为正，而坏的交易夏普比率低且收益偏度高度为负，且好的交易不涉及澳元、日元等典型利差货币，这一区分颠覆了传统对利差交易收益的理解。
We distinguish between “good” and “bad” carry trades constructed from Group of Ten (G-10) currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades, which have both substantially lower Sharpe ratios and highly negative return skewness. Surprisingly, good trades do not involve the most typical carry currencies like the Australian dollar and Japanese yen. The distinction between good and bad carry trades significantly alters our understanding of currency carry trade returns, and invalidates, for example, explanations invoking return skewness and crash risk.