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Notes: Performance statistics for the multi-factor strategy, which is an equal-weighted portfolio of the one-month bond momentum, one-month equity momentum, and term spread strategies. The final month of the sample period is December 2012. For the starting month for each country see Exhibit 1.Notes: Cumulative gross performance of one-month bond momentum, one-month equity momentum, term spread, and the multi-factor strategy that equally weights the returns on the three single-factor strategies. Term spread is defined as the 10-year government bond yield minus the three-month LIBOR for developed markets and as the JP Morgan bond index yield minus the three-month LIBOR for emerging markets. Bond momentum and equity momentum are defined as the total return of the local government bond and equity market indexes in the preceding month in excess of the return on a three-month LIBOR cash investment. The signs of bond momentum and term spread are positive, and the sign of equity is negative. The sample period Notes: Annualized gross performance of active duration management based on one-month bond excess return momentum, one-month equity excess return momentum, and term spread. Term spread is defined as the 10-year government bond yield minus the three-month LIBOR. Bond momentum and equity momentum are defined as the total return of the local government bond and equity market indexes in the preceding month in excess of the return on threemonth LIBOR cash investment. The signs of bond momentum and term spread are positive, and the sign of equity is negative. The final month of the sample period is December 2012. For the starting month for each country, see Exhibit A1. Corresponding exhibit: Exhibit 3.Notes: This exhibit shows the performance statistics for the multi-factor strategy, which is an equal-weighted portfolio of the one-month bond momentum, one-month equity momentum, and term spread investment strategies. The "Portfolio developed" row shows equal-weighted results of the six developed countries. Corresponding exhibit: Exhibit 4, Panel A.Notes: Sample statistics for the excess returns over local LIBORs. The "Portfolio developed" row equal weights the results of the six developed countries. The first month depends on the data availability of a total return bond index and a three-month rate. Corresponding exhibit: Exhibit 1, Panel A.

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