The main problem is that currencies in 2015 have been anything but stable — and in a way, the currency carry trade is a bet on stasis.
To pursue the trade, an investor will short a currency with a low risk-free rate (say, 1 percent) thus agreeing to pay that interest rate. With those funds, the investor will go long a separate currency with a high interest rate (say, 3 percent) which the investor will then take in.
If neither rate moves, and neither currency budges, then the investor just made a clean 2 percent over the course of a year.
Even better is if the current situation becomes yet more extended; for instance, if the central bank in the country yielding 3 percent raises interest rates higher and higher.
But if, for instance, the first country raises its interest rate to 2 percent while the second country drops its interest rate to 2 percent, those profits will evaporate.
Separately, if the shorted currency soars while the bought currency falls, that investor could be in big trouble.
In 2015, carry traders got hit from both angles, as currencies made sharp moves, and interest rates vacillated.
"The complex was hit by a perfect storm of Fed tightening, Chinese policy shocks and idiosyncratic [emerging market] blowups," Deutsche Bank currency strategist Oliver Harvey wrote in a Tuesday note to clients.
Read MoreChina yuan falls to lowest since August 2011 versus dollar
There may be a silver lining. According to Harvey, "bad years for carry more often than not preceded good ones "
Indeed, after the carry strategy lost investors 29 percent in 2008, it made them 23 percent in 2009.
In 2016, "a carry positive outcome would probably have to include an arrest to China's slump next year and the commodity cycle finding a floor," he wrote.
In other words: Good luck.
On the other hand, Mark Dow, founder of Dow Global Advisors, says the days of the carry trade are pretty much over.
The term "comes from a world that no longer exists, where a lot of Asian currencies had pegs to the dollar," Dow said in a phone interview.
"Now very few countries have pegged exchange rates, and interest rates in general are really, really low, so it's hard to have a true carry trade anymore."