PT - JOURNAL ARTICLE AU - Bac Van Luu AU - Peiyi Yu TI - Momentum in Government-Bond Markets AID - 10.3905/jfi.2012.22.2.072 DP - 2012 Sep 30 TA - The Journal of Fixed Income PG - 72--79 VI - 22 IP - 2 4099 - https://pm-research.com/content/22/2/72.short 4100 - https://pm-research.com/content/22/2/72.full AB - The authors explore the risk–return properties of simple momentum strategies in six major government-bond markets and find that trend-following investment rules generate positive information ratios in the 1987–2011 sample period. They simulate the combination of momentum portfolios with fixed-income funds to study the potential diversification benefits of momentum with regard to active credit strategies.TOPICS: Fixed-income portfolio management, passive strategies, portfolio construction, legal and regulatory issues for structured finance