"Cluster analysis is class of tools in which you use to group complex data into distinct clusters based on observable variation. Cluster analysis is closely related to the idea of latent class analysis in which data is grouped into classes based on observable characteristics."
However, why can't this be used to classify carry trade returns in different regimes. The clusters can be things like (high level of international risk aversion; exchange rate type; month; interest rate differential; stock market performance; housing market performance; political tension. Could be done in the same fashion?