TY - JOUR T1 - Forecasting U.S. Bond Returns:<br/> <em>A Practitioner’s Perspective</em> JF - The Journal of Portfolio Management SP - 124 LP - 136 DO - 10.3905/jpm.2014.40.3.124 VL - 40 IS - 3 AU - George Mylnikov Y1 - 2014/04/30 UR - https://pm-research.com/content/40/3/124.abstract N2 - This article presents a practitioner’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 ER -