Economy & PolicyExtended setInvalidNew
Emfx Basket Signal
Updated monthlyData needs: 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.
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In plain terms
High-yield EMFX strengthening → EM stock ETFs rally; collapse → they fall.
How it works
High-carry EMFX basket (BRL/TRY/ZAR/MXN) → EM equity ETF long/short.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Bis effective rates
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- 100-300 bps
- Tested over
- 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.