%0 Journal Article %A Haim Reisman %A Gady Zohar %T Short-Term Predictability of the Term Structure %D 2004 %R 10.3905/jfi.2004.461448 %J The Journal of Fixed Income %P 7-14 %V 14 %N 3 %X This research shows significant short-term momentum in U.S. Treasury yields. The evidence comes from principal components analysis of the term structure, and then modeling the two leading factors as ARIMA processes. Application of the prediction results to bond portfolio selection indicates frequent rebalancing of bond allocations may lead to substantially higher returns. %U https://jfi.pm-research.com/content/iijfixinc/14/3/7.full.pdf