Mean Reversion and Bond ETF Returns: The fixed coupon and maturity of bonds act live gravity, causing mean reversion in returns. Short-term underperformance might suggest a positive forecast. (Video Digest)
Duration Timing with Style Premia: Value, momentum, carry, and an explicit measure of the bond risk premium all produce strong absolute and risk-adjusted returns for timing duration.
Timing Bonds with Value, Momentum and Carry: Using value, momentum, and carry techniques in order to vary bond exposure.
A Carry-Trend-Hedge Approach to Duration Timing: Using the slope of the yield curve, prior returns, and prior equity returns to inform duration exposure.
Navigating Municipal Bonds With Factors: A portfolio formed with the low volatility, value, and carry factors has sufficiently low turnover that these factors may have value in setting strategic allocations across municipal bond sectors.