Exactly. So the approach you could use is based on risk tolerance / aversion. I don't see a basket as found in stock-picking, more a set of scales with risk as the risk-neutral as the fulcrum - USD, AUD, NZD at one end, JPY, CHF at the other: EUR is right now only a maybe, near the middle, GBP is out. Anything smaller than JPY or CHF is high-risk.
I think you're talking about something else. My question is different. I think South Africa will be Zimbabwe but on a much bigger scale. Now, I want to monetize this by betting against the rand. And... I don't want to get fucked if the Brits do something stupid and GBP goes down and GBP/ZAR doesn't pay off because of that. So that's why I'm thinking of a basket of ZAR against USD, GBP, CHF, JPY, EUR. To make money on my main thesis and filter out the other currency's local idiosyncrasies. I'm just not sure how to weigh the basket. that's all.
Yes, I think I was trying to solve a problem which you don't have. Though I still think global risk applies - if global risk tolerance drastically reduces, say due to some military developments in the middle East, the USD is going to tank. Maybe even faster than the ZAR.