Carry investing
Separate income and funding, then show curve roll-down as its own assumption.

The idea · in two minutes

If prices do not otherwise move, what remains after income, funding and curve roll-down?

Rose owns a bond yielding 5% and finances it at 4%. The roughly 1% net spread is a carry component, not a total-return promise.

If the curve shape holds, a bond may roll to a lower-yield point as it ages and gain price. A curve move or wider credit spread can quickly outweigh that carry.

Jack enters yield, funding, roll-down and costs as assumptions. Proper evaluation needs point-in-time curves, bond histories, funding, hedges and turnover in a walk-forward test.

• Asset income assumptionChange assumptions to inspect each component of one-period carry; all inputs are scenario values.
• After fundingNot a historical backtest or return forecast; excludes default, jumps, margin, tax and live fills.
• After assumed roll-down and costsIllustrative expiry outcome.

Illustrative research examples only. They are not live signals or a recommendation.

The mechanics · payoff and exposure

Carry_{t,t+h}=Income_{t,t+h}-Funding_{t,t+h}+RollDown_{t,t+h}-Costs_{t,t+h}

Express each term over the same holding horizon, notional and annualisation convention. Roll-down is a price component under a static-curve assumption, not realised return.

Greeks: the directional intuition

融資

Measures sensitivity to implied volatility.

曲線形狀

Measures sensitivity to implied volatility.

尾端風險

Measures sensitivity to implied volatility.

Carry_{t,t+h}=Income_{t,t+h}-Funding_{t,t+h}+RollDown_{t,t+h}-Costs_{t,t+h}

Practical context · published observations

Carry investing: read the record with its caveats.

The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.

不是歷史回測或報酬預測；未納入信用違約、價格跳動、保證金、稅及真實成交。 Source ↗ · Methodology ↗