PIMCO examines whether carry and trend signals can improve investing outcomes across global markets. Drawing on data from 20 markets and four asset classes between 1960 and 2014, the research finds carry predicts returns broadly, while trend appears most effective when both signals point in the same direction.
Carry and Trend in Lots of Places
PIMCO
Vineer Bhansali, Josh Davis
Research
12 Pages
Key Takeaways
Carry Trend Alignment: Across 20 markets from 1960 to 2014, returns were generally strongest when both carry and trend were positive and weakest when both were negative.
Bond Market Evidence: In U.S. 10 year note futures, annualized excess returns reached 5.2% when carry and trend were positive versus negative 4.2% when both signals were unfavorable.
Robust Across Regimes: Results held across four asset classes and remained effective during the rising rate environment from 1960 to 1982, not only during the subsequent bond bull market.
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