I imagine you could replicate their covariance calculation for currency pair futures, then determine which currency to use in purchasing the target contracts.

I imagine you could replicate their covariance calculation for currency pair futures, then determine which currency to use in purchasing the target contracts. Essentially, covariance evaluates the directional relationship between the returns of two assets. No two currencies are eternally correlated, so you can also think of using the correlation or lack thereof in this endeavor.