Although the excess return was l-20180805175914

2018-08-05 17:59 本条微博链接 Although the excess return was less than the average excess return of the equity market over the same period, the Sharpe ratio of the strategy was more than double that of the S&P500 Burnside et al. (2008) show that the average excess return of an equally-weighted carry trade strategy, based on up to 20 currencies and executed monthly over the period 1976 – 2007, was about 5% per year ​​​ ………………………………