Currency Carry Trades – Excess Returns and Performance Optimization of G10 Currency Carry Trade Strategies during the Euro Era

This study examines the excess returns provided by G10 currency carry trading during the Euro era. The currency carry trade has been a popular trade throughout the past decades offering excess returns to investors. The thesis aims to contribute to existing research on the topic by utilizing a new set of data for the Euro era as well as using the Euro as a basis for the study. The focus of the thesis is specifically on different carry trade strategies’ performance, risk and diversification benefits. The study finds proof of the failure of the uncovered interest rate parity theory through multiple regression analyses. Furthermore, the research finds evidence of significant diversification benefits in terms of Sharpe ratio and improved return distributions. The results suggest that currency carry trades have offered excess returns during 1999-2014 and that volatility plays an important role in carry trade returns. The risk, however, is diversifiable and therefore our results support previous quantitative research findings on the topic.

On the Properties and Cosmology of Q-balls

The properties and cosmological importance of a class of non-topological solitons, Q-balls, are studied. Aspects of Q-ball solutions and Q-ball cosmology discussed in the literature are reviewed. Q-balls are particularly considered in the Minimal Supersymmetric Standard Model with supersymmetry broken by a hidden sector mechanism mediated by either gravity or gauge interactions. Q-ball profiles, charge-energy relations and evaporation rates for realistic Q-ball profiles are calculated for general polynomial potentials and for the gravity mediated scenario. In all of the cases, the evaporation rates are found to increase with decreasing charge. Q-ball collisions are studied by numerical means in the two supersymmetry breaking scenarios. It is noted that the collision processes can be divided into three types: fusion, charge transfer and elastic scattering. Cross-sections are calculated for the different types of processes in the different scenarios. The formation of Q-balls from the fragmentation of the Aflieck-Dine -condensate is studied by numerical and analytical means. The charge distribution is found to depend strongly on the initial energy-charge ratio of the condensate. The final state is typically noted to consist of Q- and anti-Q-balls in a state of maximum entropy. By studying the relaxation of excited Q-balls the rate at which excess energy can be emitted is calculated in the gravity mediated scenario. The Q-ball is also found to withstand excess energy well without significant charge loss. The possible cosmological consequences of these Q-ball properties are discussed.