Our FX Carry strategy seeks to generate attractive returns from developed market interest rate differentials whilst incorporating risk mitigation techniques that improve upon passive approaches.


The FX Carry trade has generated statistically and economically significant positive excess returns throughout the history of floating exchange rates with occasional sharp drawdowns in times of market crises e.g., the Global Financial Crisis (‘GFC’) which began in 2008.

The post-GFC era was characterised by interest rate repression and excessive liquidity provision via the adoption of unconventional monetary policy by central banks, which led to a contraction in the FX Carry opportunity.

We have now entered a new market regime in which interest rates are rising. Widening yield differentials are providing an attractive environment for FX Carry which we believe will persist.


FX Carry strategies seek to capture interest rate differentials. They typically apply passive processes that mechanically buy high yielding currencies and sell low yielding currencies.

The major limitation of passive FX Carry trading strategies is that they tend to incur large short-term losses, in periods of market risk aversion.

Millennium Global’s Enhanced FX Carry approach includes refinements to address this by applying an “FX volatility switch” to reduce carry exposure during high volatility regimes.


The Enhanced FX Carry Strategy seeks to provide an attractive risk-return profile.

FX Carry returns are uncorrelated with traditional asset classes and offer a source of portfolio diversification.

We have incorporated enhanced risk management techniques to protect against performance drawdowns.

The strategy transacts in highly liquid developed market currencies and offers daily liquidity.

Further insights

Enhanced FX Carry presentation & factsheet

Our Enhanced FX Carry seeks to improve the return and risk profile of a passive FX Carry approach. This presentation examines the rationale for FX Carry and Millennium Global's offering.

MGIL FX Carry Presentation September 2022
We have now embarked upon a new regime in global markets involving a sharp rise in interest rates and a widening of yield differentials resulting in a renewed attractive investment environment for the “FX Carry” factor.
Michael Huttman