Finding a Better Safe Haven via U.S. Treasuries Dual Momentum
June 20, 2017 - Bonds, Momentum Investing
Does a dual momentum selection/weighting approach applied to the U.S. Treasuries term structure identify a safe haven superior to any one duration? In his February 2015 paper entitled “The Search for Crisis Alpha: Weathering the Storm Using Relative Momentum”, Nathan Faber tests a dual momentum safe haven based on U.S. Treasuries of different durations as proxied by… Keep Reading