Carry On
By Megan Czasonis, Baykan Pamir, David Turkington, State Street Associates
Sep 1, 2019
By Megan Czasonis, Baykan Pamir, and David Turkington
Published in the Journal of Alternative Investments, Fall 2019
We investigate features of carry returns that contributed to the strategy’s performance in the decades prior to the 2008 global financial crisis, and evaluate whether these features have changed in the years following the crisis.
1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.