TY - JOUR T1 - Momentum in Government-Bond Markets JF - The Journal of Fixed Income SP - 72 LP - 79 DO - 10.3905/jfi.2012.22.2.072 VL - 22 IS - 2 AU - Bac Van Luu AU - Peiyi Yu Y1 - 2012/09/30 UR - https://pm-research.com/content/22/2/72.abstract N2 - 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 ER -