Goldman Sachs Research constructed a series of FX factors (Carry, Equity Risk, National Debt, NIIP, Energy and Metals Commodities, and Mean Reversion) by applying time-varying weights to 26 currencies, including the US Dollar.

"We show that this is the case for a Carry/Risk-Off blend during periods of moderate equity drawdowns, and for a Carry/NIIP blend to benefit from capital retrenchment in periods of correlation breakdowns in US assets," GS notes.

"We also find that blending Carry with Mean Reversion can help to improve total vol-adjusted returns," GS adds.