[Carry trades] produced average annual returns of 21 percent in the 1980s with no down years, the best of four commonly used currency strategies, according to ABN Amro Holding NV indexes.

In the 1990s, carry-trade investors suffered three down years, including a 54 percent slide in 1992, ABN Amro data compiled by Bloomberg show.

From 2000 to 2005, the trade was again on top with average gains of 16 percent. Then it dropped three years in a row in 2006-08, the longest streak since 1976-78, for an annualized average loss of 16.5 percent through Feb. 28. <> Last month, the carry trade roared back.