Graduation Year
2019
Date of Submission
4-2019
Document Type
Campus Only Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Eric Hughson
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Rights Information
@ 2019 Mackenzie C Cooney
Abstract
It has been twelve years since the last time the yield curve was inverted. Since 2017, the yield curve has been continuing to flatten and has almost entered an inverted state. The last five recessions have been preceded by the inversion of the yield curve. I examine momentum trading strategy’s ability to outperform during an inverted yield curve state. The yield curve can enter the momentum portfolio strategy through the portfolio’s formation and holding period. I document the increased performance of the momentum strategy’s total portfolio return in an inverted state. These results have implications on the timing a momentum trading strategy might be implemented.
Recommended Citation
Cooney, Mackenzie C., "Yield-Curve Momentum" (2019). CMC Senior Theses. 2244.
https://scholarship.claremont.edu/cmc_theses/2244
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.
