Fed Study: Momentum Strategies Work In Bond Markets
Momentum strategies are based on the observation that assets with the best recent performance tend to outperform the market. This isn’t supposed to be true, at least not if you believe in the efficient market hypothesis, but studies of US stocks, commodities, currencies, and a host of other asset classes shows that it is.
“Curiously, even though the market for nominal U.S. Treasury securities is among the deepest and most liquid in the world, no one has rummaged through government bond term structures to find similar strategies that work, no matter what the future general direction of interest . . .
This content is exclusively for paying members. Access all of our content on including years of timeless investment news and in depth analysis for only a few dollars a month by signing up here while also supporting quality content and journalism, or learn more about our premium content here
If you are subscribed and having an account error please clear cache and then cookies if that does not work email email@example.com and we will get back to you as quick as humanly possible