Menkhoff et al. (2012) Cross-Sectional FX Momentum

Cross-sectional FX momentum strategy based on Menkhoff, Sarno, Schmeling & Schrimpf (2012). Signals built from vol-adjusted excess returns (Yang-Zhang) over 3 horizons (1M, 3M, 12M). Dollar-neutral long/short portfolio with weekly rebalancing.

Forward CIP

Forwards computed via Covered Interest Parity: F = S × exp((r_quote - r_base) × H/360). Interest rates from FRED.

Yang-Zhang Volatility

σ_YZ = sqrt(0.134 × σ²_overnight + 0.866 × σ²_openclose) over 63-day window.

Walk-Forward Analysis

Validation without look-ahead bias using expanding windows of 2, 5, and 10 years. Each window trains on cumulative historical data and tests on the next out-of-sample period.

Gating by Plan

Free: Top 6 pairs (live signals).
Plus: 12 pairs + backtest + 2Y WFA + portfolio.
Pro/Advisor: Everything + 5Y/10Y WFA + signal decomposition.