G10 currency carry

Checked October 2026

G10 carry buys the three highest-yielding major currencies and sells the three lowest. The ranking is the one in the Deutsche Bank currency harvest, written up in the Invesco fund prospectus. Backtoast ran it. It made 2.3% a year over 21 trades and failed.

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G10 currency carry

A carry trade holds the currency that pays more interest against one that pays less, earns the gap, and loses when the high-yielder falls by more than that gap. The rule ranks ten major currencies by interest rate every quarter, buys the top three and sells the bottom three, with no stops.

Five of the dollar pairs quote the dollar first, so the run couldn't put all ten currencies on one scale. It ranked the nine dollar pairs by their rate gap instead, which still sides with the higher yield in every trade, but with US rates high it could end up long the dollar against all six. It also ranked at each quarter's close, about three weeks after the published date.

The dollar carry trade makes one bet on the dollar against all ten instead of ranking them, and FOMC day carry holds the high-yielders for one day around each Fed decision.

Where it comes from

Deutsche Bank's G10 Currency Harvest index is the published version, and the Invesco DB G10 Currency Harvest Fund tracked it. The fund's 2020 fact sheet shows −0.45% a year over cash from September 2006 to March 2020. The run is from late 2021 to October 2026, with the interest gap paid and charged overnight.

The run is Backtoast's, from 29 October 2026, after costs.