The Journal of Investment Management • customerservice@joim.com • (925) 299-7800 • 3658 Mt. Diablo Blvd., Suite 200,
Lafayette, CA 94549 • Bridging the theory & practice of investment management
Don’t Get Carried Away: Uncovering Macro Characteristics in Carry Portfolios
Marco Aiolfi and Yesim Tokat-Acikel