fx_momentum
Menkhoff-Sarno-Schmeling-Schrimpf (2012) JFE — Currency momentum: 1-12 month FX momentum yields 4-6%/yr, low equity correlation
Rolling Sharpe
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90-day rolling window
Drawdown
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peak-to-trough
Win Rate
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0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Menkhoff-Sarno-Schmeling-Schrimpf (2012) JFE — Currency momentum: 1-12 month FX momentum yields 4-6%/yr, low equity correlation
Supported Markets
FX
State Transition History
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