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Carry is the return on assets when their ‘prices’ do not change. It is one of the strongest anomalies in the academic literature. A carry strategy offers investors the opportunity to earn excellent risk-adjusted returns and is a great diversifier for traditional asset classes, with a near-zero correlation with equity and bond returns. In this white paper, we explain how carry works, how Robeco provides clients with an efficient way of harvesting the carry premium, and how it can benefit investors seeking differentiated and uncorrelated returns