Beyond Carry: Building a More Resilient FX Return Engine

Research evidence excerpt

Beyond Carry: Building a More Resilient FX Return Engine

Global Foundation

July 16, 2026 06:00 AM GMT

Morgan Stanley & Co. International plc+MQuantitative Investment Strategies Stephan M Kessler

Quantitative Analyst

Beyond Carry: Building a More Stephan.Kessler@morganstanley.comMingyong Liu +44 20 7425-2854

Mingyong.Liu@morganstanley.com +44 20 7677-0963

Resilient FX Return Engine James K Lord

Strategist

James.Lord@morganstanley.com +44 20 7677-3254

FX systematic investing has delivered attractive returns over Alexandre Daband

recent years, driven by the re-emergence of carry opportunities QuantitativeAlexandre.Daband@morganstanley.comAnalyst +44 20 7677-0628

and technical return patterns. Extending signal breadth using David S. Adams, CFA

market insights improves performance further. StrategistDavid.S.Adams@morganstanley.com +44 20 7425-3518

Morgan Stanley Europe S.E., Copenhagen Branch+

Jakob Christian LorenzenM Quantitative Analyst

Systematic FX investing has re-emerged as an attractive source of Jakob.Lorenzen@morganstanley.com +45 32 75 57-14

diversified returns as rate and currency dispersion has returned. In FX Morgan Stanley & Co. LLC

Carry, flat performance has given way to a more supportive backdrop, Krystal Qian

especially in developed markets. Over the past year, FX Carry returned 5.1% Quantitative Analyst

Krystal.Qian@morganstanley.com +1 212 761-1788

in Developed Markets (DM) and 8.1% in Emerging Markets (EM). Looking

Aristeidis Tentes

more broadly, realised skewness was even stronger than historically at 10.7% Quantitative Analyst

in DM and 25.7% in EM. Aris.Tentes@morganstanley.com +1 212 761-1235

An FX Multi-Factor approach provides attractive and robust performance Morgan Stanley India Company Private Limited+

Nimish M Prabhune

across regimes.