"Simple Term Structure ETF/Mutual Fund Momentum Strategy" tests a simple relative momentum strategy on the term structure of U.S. Treasuries using exchange-traded fund (ETF) and mutual fund proxies. Here, we update and extend that analysis with the following seven ETFs:
State Street SPDR Bloomberg 1-3 Month T-Bill ETF (BIL)
iShares 1-3 Year Treasury Bond ETF (SHY)
Vanguard Short-Term Inflation-Protected Securities Index ETF (VTIP)
iShares 3-7 Year Treasury Bond ETF (IEI)
iShares 7-10 Year Treasury Bond ETF (IEF)
iShares TIPS Bond ETF (TIP)
iShares 20+ Year Treasury Bond ETF (TLT)
We allocate all funds at the end of each month to the one ETF with the highest total return over a specified ranking (lookback) interval, ranging from one month to 12 months. We start the test in July 2002 and add ETFs as they become available. To accommodate the longest lookback interval, portfolio formation commences 12 months after the start of the sample. We focus on compound annual growth rate (CAGR) and maximum drawdown (MaxDD) as key performance metrics. Using monthly dividend-adjusted closing prices for the seven ETFs as they become available through February 2026, we find that:
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