PT  - JOURNAL ARTICLE
AU  - Haim Reisman
AU  - Gady Zohar
TI  - Short-Term Predictability of the Term Structure
AID  - 10.3905/jfi.2004.461448
DP  - 2004 Dec 31
TA  - The Journal of Fixed Income
PG  - 7--14
VI  - 14
IP  - 3
4099  - https://pm-research.com/content/14/3/7.short
4100  - https://pm-research.com/content/14/3/7.full
AB  - 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.