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Contribution Details

Type Bachelor's Thesis
Scope Discipline-based scholarship
Title Momentum and Reversal in Government Bond Futures
Organization Unit
  • Dominik Reich
  • Markus Leippold
  • Benjamin Wilding
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 56
Date 2022
Abstract Text This paper examines momentum strategies on three types of governmental bond spreads namely term-/ cross-country-/ and cross-country-term spread. The strategies take strategic long and short positions based on signals derived from past performance. It is found that significant returns can be achieved especially on the term spread (different maturity in the same country). This return is even greater when combining a long-term and a short- term governmental bond future. This relationship is also evident between different maturities of cross-country government bonds. The results remain stable over multiple holding periods and when transaction costs are included.
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