Practitioner course in systematic investing
Carry Trade Strategies
The carry trade across asset classes: earning the interest gap in currencies, the roll-down in bonds and the roll yield in commodity futures, measured, combined with trend and value, and sized for the crashes carry is known for.
The carry trade earns the gap between what one asset yields and what another costs to hold. It is one of the oldest and best-documented sources of return, found in currencies, bonds, equity indices and commodities alike. This course defines carry the same way in every market, builds a systematic carry portfolio, and measures the crashes that come with it.
Why does carry earn a return at all?
Theory says the higher-yielding currency should fall by the interest gap, and in the data it does not, on average. The return is widely read as payment for bearing crash risk: carry loses when markets panic and money is needed most. The course tests that reading on decades of data.
How is the course taught?
Audio lessons give the general subject, explainer films show the roll yield and carry crashes on real futures curves, and the workbooks hold worked examples, notebooks and cheat sheets. The lab receives written feedback from the faculty.
Who is this course for?
Systematic traders, macro analysts and portfolio managers who want a second return source beside trend. It counts toward the Certificate in Systematic Investing and so toward the Professional Diploma in Algorithmic Trading.
What you will be able to do
- Define and measure carry in currencies, bonds, equity indices and commodity futures.
- Build a cross-sectional carry portfolio and backtest it with realistic costs.
- Explain carry crashes and size positions to survive them.
- Combine carry with trend and value signals in one systematic book.
Syllabus, module by module
What carry is
The return an asset earns if prices stay still, defined the same way across markets.
Currency carry
Interest gaps, forward points, the forward premium puzzle and G10 and emerging-market baskets.
Bond and commodity carry
Roll-down on the yield curve, backwardation, contango and the roll yield.
Building the portfolio
Ranking, weighting, volatility targeting and trading costs.
Carry crashes
1998, 2008 and the yen unwinds; skew, drawdowns and position limits.
Carry with trend and value
Why the three signals work together and how to weight them.
How the certificate is earned
Graded problem sets and a final lab: a multi-asset carry strategy backtested with costs, crash analysis and a written risk note. On a pass you receive the Course certificate in Carry Trade Strategies, issued by the Institute with a verification code. Read how certification works.
Before you start
Systematic futures trading at the Institute's level.
This course counts toward
- Certificate in Systematic InvestingOne semester of twelve courses and a capstone on rule-based investing over months and years: asset pricing, trend, factors, carry, allocation and the portfolio construction and risk control that hold them together.
- Professional Diploma in Algorithmic TradingThe top credential on the practitioner path. Four semesters, 41 courses and a 160-hour capstone covering everything between the mathematics and a book you could defend to a risk committee.
Questions applicants ask
What is a carry trade?
A carry trade borrows in a low-yielding asset and holds a higher-yielding one, earning the difference as long as prices do not move against it. The classic case is borrowing yen to hold a higher-rate currency.
Why do carry trades crash?
Many investors hold the same positions and exit together when markets panic, so high-yield currencies fall sharply all at once. Carry earns small gains often and suffers large losses rarely, and the course teaches how to size for that.