RT Journal Article
SR Electronic
T1 Momentum in Government-Bond Markets
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 72
OP 79
DO 10.3905/jfi.2012.22.2.072
VO 22
IS 2
A1 Bac Van Luu
A1 Peiyi Yu
YR 2012
UL https://pm-research.com/content/22/2/72.abstract
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