Asset Class: BOND

Run: 2026-05-11T18-56-26Z · Verdict: MIXED
Schema v1 · citations: 8 verified / 12 hallucinated · candidates: 3 · backtested: 3 · independent: 3 · cost: $0.00 · wall: 3s

Citations

URLAccess dateTitleEvidenceStatus
https://www.aqr.com/Insights/Research/Journal-Article/Bond-Momentum… 2026-05-11 Bond Momentum peer-reviewed ✓ verified low-trust domain
https://www.bis.org/publ/work878.pdf… 2026-05-11 The term premium and bond return predictability in times of crisis empirical ✓ verified low-trust domain
https://www.federalreserve.gov/econres/feds/files/2018057pap.pdf… 2026-05-11 Treasury Bond Illiquidity and the Cross-Section of Expected Returns empirical ✓ verified low-trust domain
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3343041… 2026-05-11 Carry and Momentum in Fixed Income peer-reviewed ✗ unverified low-trust domain
https://www.nber.org/system/files/working_papers/w23619/w23619.pdf… 2026-05-11 Bond Risk Premia and the Macroeconomy peer-reviewed ✓ verified low-trust domain
https://www.imf.org/-/media/Files/Publications/WP/2019/wp1902.ashx… 2026-05-11 Volatility Targeting for Government Bond Portfolios empirical ✗ unverified low-trust domain
https://www.sciencedirect.com/science/article/pii/S0304405X17303012… 2026-05-11 TIPS Breakeven Inflation and Bond Return Predictability peer-reviewed ✗ unverified low-trust domain
https://www.research-affiliates.com/content/dam/research-affiliates/documents/RA… 2026-05-11 Bond Value and Momentum: A Cross-Sectional Approach empirical ✗ unverified low-trust domain
https://www.jstor.org/stable/10.1086/700196… 2026-05-11 Credit Spread Momentum and Reversals peer-reviewed ✗ unverified low-trust domain
https://www.federalreserve.gov/econresdata/feds/2015/files/2015055pap.pdf… 2026-05-11 Regime-Conditional Bond Sizing: A Markov-Switching Approach empirical ✓ verified low-trust domain
https://ssrn.com/abstract=1792630… 2026-05-11 Carry and Momentum in the Fixed Income Market empirical ✗ unverified
https://ssrn.com/abstract=1792635… 2026-05-11 Bond Market Momentum empirical ✗ unverified
https://www.nber.org/papers/w18893… 2026-05-11 The Term Premium and the Yield Curve: Evidence from the US Treasury Market empirical ✓ verified low-trust domain
https://ssrn.com/abstract=2651234… 2026-05-11 Credit Spread Predictability and the Value Effect in Corporate Bonds empirical ✗ unverified
https://www.federalreserve.gov/pubs/feds/2007/200735/200735.pdf… 2026-05-11 The Predictive Power of TIPS Breakeven Inflation empirical ✗ unverified low-trust domain
https://ssrn.com/abstract=2001230… 2026-05-11 Volatility Targeting and the Performance of Bond Portfolios empirical ✗ unverified
https://www.nber.org/papers/w10823… 2026-05-11 Regime Switching and the Predictability of Bond Returns empirical ✓ verified low-trust domain
https://www.nber.org/papers/w7355… 2026-05-11 The Term Structure of Credit Spreads empirical ✓ verified low-trust domain
https://ssrn.com/abstract=1023456… 2026-05-11 Liquidity and Expected Returns in the Corporate Bond Market empirical ✗ unverified
https://ssrn.com/abstract=3571234… 2026-05-11 Duration Carry and the Performance of Treasury ETFs empirical ✗ unverified

Strategy candidates (P2)

spec_idEntryExitSizingUniverseSourcesSource engine
bond_curve_momentum_v1 long when 12m change in (10y - 2y) slope > 0 AND 12m realized term-premium positive reverse on slope sign flip OR 6m hold risk-parity to 10% annualized vol IEF, TLT, SHY, IEI [1] textbook_seed
bond_tips_breakeven_mr_v1 long TIP / short IEF when 10y breakeven inflation < 5y rolling mean - 1σ exit when breakeven crosses 5y rolling mean OR 90d hold duration-neutral pair, 5% portfolio risk TIP, IEF [1] textbook_seed
bond_ig_carry_low_vol_v1 long bottom-quartile 60d-vol IG bonds, short top-quartile, rebalanced monthly monthly rebalance OR vol-quartile flip dollar-neutral, leverage to 8% portfolio vol LQD, VCIT, VCSH, HYG [1] textbook_seed

Backtest (P3)

spec_idPFWR %MDD %SharpenWindowNotes
bond_curve_momentum_v1 1.03 43.6 19.3 0.61 153 2020-01-01 → 2026-05-01 v1 STUB metrics — deterministic synthetic from spec_id hash. Replace with alpha_engine.backtest.engine.BacktestEngine in
bond_tips_breakeven_mr_v1 1.00 54.4 22.4 0.68 134 2020-01-01 → 2026-05-01 v1 STUB metrics — deterministic synthetic from spec_id hash. Replace with alpha_engine.backtest.engine.BacktestEngine in
bond_ig_carry_low_vol_v1 1.86 43.5 18.1 -0.05 137 2020-01-01 → 2026-05-01 v1 STUB metrics — deterministic synthetic from spec_id hash. Replace with alpha_engine.backtest.engine.BacktestEngine in

Cross-test vs shipped strategies (P4)

spec_idmax |ρ|nearest shippedsymbol overlap %verdicttop neighbors
bond_curve_momentum_v1 0.95 leveraged_etf_decay 0.0 INDEPENDENT leveraged_etf_decay (ρ=0.95) ; multi_asset_scanner (ρ=-0.95) ; breakout_c_spike (ρ=0.94)
bond_tips_breakeven_mr_v1 0.94 auto_dna_mutation 0.0 INDEPENDENT auto_dna_mutation (ρ=0.94) ; breakout_c_spike (ρ=0.94) ; ml_bg_system_b (ρ=0.93)
bond_ig_carry_low_vol_v1 -0.95 ml_consensus 0.0 INDEPENDENT ml_consensus (ρ=-0.95) ; ai_challenge_predictable (ρ=0.94) ; fast_stocks_competition (ρ=-0.93)

Synthesis (P5)

bond_curve_momentum_v1 — MIXED
Backtest stub PF=1.03/WR=43.6/MDD=19.3/n=153. Cross-test INDEPENDENT (ρ=0.95). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
bond_tips_breakeven_mr_v1 — MIXED
Backtest stub PF=1.00/WR=54.4/MDD=22.4/n=134. Cross-test INDEPENDENT (ρ=0.94). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
bond_ig_carry_low_vol_v1 — MIXED
Backtest stub PF=1.86/WR=43.5/MDD=18.1/n=137. Cross-test INDEPENDENT (ρ=-0.95). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED