Understanding the Performance of Currency Basis‐Momentum
深入分析了货币市场中的基差动量策略，发现其能产生显著超额收益，且风险低于利差交易，风险调整后表现更优。
ABSTRACT We conduct an in‐depth analysis of basis momentum (BM) in currency markets and examine its relationship with key market anomalies. We find that BM strategies generate significant excess returns across various formation periods. These abnormal returns are not fully explained by the closely related carry and momentum factors. By decomposing the BM signal, we show that both carry‐ and momentum‐related components contribute to the returns of BM strategies. Compared to carry trade, BM strategies exhibit significantly lower risk, leading to superior risk‐adjusted performance.