BBVA Global Markets Quantitative Investment Strategies & Index Solutions

Podcast | 12 December 2025

QIS Corner | N.1- Carry strategy: Why, when and how?

In this video we explore how QIS carry strategies systematically harvest risk premia without relying on market direction in a market where the traditional 60/40 portfolio offers less diversification.

While some forms of carry face structural headwinds, FX carry stands out thanks to wide rate differentials and persistent inefficiencies. Yet carry is not risk-free: stress periods can trigger sharp drawdowns, making disciplined risk management essential. Done well, carry can provide resilient, uncorrelated returns in a shifting macro landscape.

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