Carry Analysis - Small vs Large Universe

In this discussion, Adam Butler, CIO of ReSolve Asset Management Global, a seasoned expert in multi‑asset carry strategies, walks through his latest research comparing two implementations of a carry strategy. He explains the fundamentals of carry in diverse asset classes and explores a wide range of topics including carry fundamentals, market liquidity, simulation analysis, historical cycles, and portfolio strategy, all while putting recent market performance into a broader cyclical context.

Topics Discussed

• Carry strategy fundamentals and the yield dynamics across various asset classes

• Comparison between a small, highly liquid 26‑market universe and an extended universe of up to 80 markets

• Detailed statistical analysis using historical simulations and probability cones

• Examination of recent performance divergences between liquid and broader market universes

• The influential role of soft commodities and other non‑liquid market segments on carry returns

• Historical patterns of divergence and subsequent reversion in carry strategy performance

• Implications for long‑term investment strategies and tactical portfolio management