Currency#194tier 2live in productionNew
emfx basket signal
cadence: Monthlydata: mediumlong onlyshort onlylong short
paper
2012
Source
Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A. (2012). "Carry Trades and Global Foreign Exchange Volatility." Journal of Finance, 67(2), 681-718.
Read the paper →
What it checks
High-yield EMFX strengthening → EM stock ETFs rally; collapse → they fall.
Mechanism
High-carry EMFX basket (BRL/TRY/ZAR/MXN) → EM equity ETF long/short.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.
Signal rule
basket EER 90d z > +1 → long EEM/EWZ/EWY; z < -1 → short; hold 30/60d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
bis_effective_ratesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 100-300 bps
- Paper window
- T+0 to T+60d
100-300 bps over 30-60d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
Explore emfx basket signal on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.