Subject: Re: Dual Momentum Fixed Income
Tails wrote:

is it correct that if neither of the 4-month bond fund returns beat the 4-month cash return, the next month would be held in cash?

Yes. That is my understanding, anyway.

I tried both short- and intermediate-term bonds as "absolute return" filters, but they did not improve either the results or the risk metrics. To my way of thinking the idea makes more sense for equities, which trend more strongly than bonds.

I also think an "absolute return" filter may limit the benefit of having High-Yield bonds as one of the picks. They can respond strongly and quickly to general market recoveries (e.g. 2009), when more vanilla bonds may take their time about it.

Baltassar