Forex Carry

objective

Execute carry-focused FX portfolios with explicit funding, roll, and drawdown controls.

workflow

1. define carry universe and interest-rate differential inputs.
2. construct long-high-carry versus short-low-carry baskets.
3. attribute returns into carry, spot, and cross-currency basis effects.
4. stress carry baskets under risk-off and policy-rate shock scenarios.
5. deploy only when crash-risk filters and funding constraints are satisfied.

required diagnostics

• carry yield persistence and decay by currency cohort.
• downside tail behavior during risk-off episodes.
• spot-versus-carry return decomposition consistency.
• funding spread and basis sensitivity diagnostics.
• turnover impact on net carry realization.