TY - JOUR T1 - Short-Term Predictability of the Term Structure JF - The Journal of Fixed Income SP - 7 LP - 14 DO - 10.3905/jfi.2004.461448 VL - 14 IS - 3 AU - Haim Reisman AU - Gady Zohar Y1 - 2004/12/31 UR - https://pm-research.com/content/14/3/7.abstract N2 - 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. ER -