In this paper the author analyzes some aspects of carry trade in the global currency market in which carry trade means that an investor borrows low-yielding currencies and lends high-yielding currencies. Such trading operation gives an opportunity to raise profits from the difference between the interest rates of the corresponding economic zones. One of the aspects of carry trade management is related to the structure of a currency portfolio based on negative trend correlation and positive interest rates correlation between the corresponding currency pairs. The author answers the question whether the annual recalculation of the currency portfolio structure impacts on total result. In the second part of the paper the author analyzes a possibility to feature carry trade by vector autoregressions as a mechanism to forecast a system of interrelated time series of the corresponding currency pairs. Considered modifications of carry trade showed that the simplest way to manage carry trade in the global currency market is to follow long-term slope of currency portfolio return and not always modern econometric models can help to maximize profits generated by a currency portfolio traded in carry trade style.