.png){kind=icon}
.png){kind=icon}
Return
Duration Rotation in US Treasury Fixed-Income ETFs: Evidence for a Median Strategy
.png){kind=icon}
PRE
AI
M
P
P
DOI：10.3390/fintech5020029.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
We examine a simple duration-rotation strategy applied to six U.S. Treasury ETFs spanning the full maturity spectrum, using data from 2007 to 2025. At each semi-annual rebalancing date, ETFs are ranked by prior-period return and divided into three equal groups-Winners, Median, and Losers. Contrary to conventional momentum logic, the middle group consistently outperforms. The Median strategy grows USD 100 to USD 199.90 by end-2025, a CAGR of 3.79% against 2.17% for the passive benchmark, with a higher Sharpe ratio (0.606 vs. 0.494) and a shallower maximum drawdown (-11.6% vs. -14.4%). Newey-West HAC and Lo (2002) tests confirm statistical significance (p=0.031 and p=0.014), and an expanding-window walk-forward procedure yields p=0.0005 across 27 out-of-sample evaluations from 2012 to 2025. The result is robust to calendar alignment, evaluation endpoint, lookback window, and execution timing, and survives transaction costs by a wide margin. The strategy requires no interest rate forecasts, no proprietary data, and is implementable with standard ETF brokerage access.
Keywords:
US treasuries
rotation strategy
median portfolio
fixed-income investing
portfolio construction
G11
G17
Journal
F
IF:
0
Papers:
51
Citations:
0
Organization
No organization information available
Cited Papers