@article {Simon67, author = {David P. Simon and Donna Fletcher}, title = {Sentiment, Positioning, and Bond Returns}, volume = {10}, number = {4}, pages = {67--74}, year = {2001}, doi = {10.3905/jfi.2001.319285}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This paper examines the forecasting power of the Stone and McCarthy Research Associates weekly survey of U.S. bond portfolio managers from its inception in September 1991 through October 1999. The survey gathers information on bullishness and the positioning of portfolios in terms of actual durations relative to benchmark durations and the percentage of assets held in cash equivalent securities. The evidence is consistent with the contrarian investment paradigm in that extreme levels of bearishness are associated with higher subsequent excess returns on the Merrill Lynch U.S. Domestic Master Bond Index over 3-month Treasury bills. Evidence also indicates that sentiment and positioning are strongly momentum driven and become more bullish when excess returns rise more over the previous two weeks. The finding that the respondents form expectations and position their portfolios as if excess bond returns are positively autocorrelated is inconsistent with evidence that excess bond returns are not positively autocorrelated over the sample period.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/10/4/67}, eprint = {https://jfi.pm-research.com/content/10/4/67.full.pdf}, journal = {The Journal of Fixed Income} }