@article {Mylnikov124, author = {George Mylnikov}, title = {Forecasting U.S. Bond Returns: A Practitioner{\textquoteright}s Perspective }, volume = {40}, number = {3}, pages = {124--136}, year = {2014}, doi = {10.3905/jpm.2014.40.3.124}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article presents a practitioner{\textquoteright}s view of the evidence on the predictability of U.S. bond returns, using forward rates found in the academic literature. The author examines this evidence from a dual perspective: statistical and economic. He finds that the regressions of monthly returns of U.S. Treasury futures on the set of three forward rates, with one-, five- and ten-year expirations, are statistically viable. An implementation of these forecasts as an investment strategy shows that it is historically profitable on a risk-adjusted basis. Furthermore, the author demonstrates the importance of the dual approach to assessing predictability, by providing an example of a slightly modified version of the main model that is more intuitive, more parsimonious, and statistically more robust, yet it fails to exhibit better economic performance.TOPICS: Exchanges/markets/clearinghouses, factor-based models, statistical methods}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/40/3/124}, eprint = {https://jpm.pm-research.com/content/40/3/124.full.pdf}, journal = {The Journal of Portfolio Management} }