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Title: Currency carry trade and the cross section of hedge fund returns Authors:  Adrien Becam - Paris-Dauphine University (France) [presenting]
Abstract: The aim is to demonstrate that a factor mimicking the returns of a currency carry trade strategy explains strongly the cross section of hedge fund returns. Results show that funds loading on the carry trade risks outperform low loading hedge funds by 3.48\% on average, despite a 1994-2015 period covering major carry trade crashes. This involvement of hedge funds in currency carry trade could explain stylized facts about foreign exchange markets.