PT  - JOURNAL ARTICLE
AU  - Jeffrey M Mercer
AU  - Mark E Moore
AU  - Drew B Winters
TI  - Do Traders Benefit from Riding the T-Bill Yield Curve?
AID  - 10.3905/JPM.2009.36.1.131
DP  - 2009 Oct 31
TA  - The Journal of Portfolio Management
PG  - 131--140
VI  - 36
IP  - 1
4099  - https://pm-research.com/content/36/1/131.short
4100  - https://pm-research.com/content/36/1/131.full
AB  - Studies show that riding the Treasury bill yield curve consistently provides higher returns than a matched-horizon buy-and-hold strategy and this article confirms earlier findings. Using Federal Reserve (FRED) interest rate data on 91- and 182-day T-bills and GovPX interdealer tick data over the period January 2001–September 2007, the authors find that no interdealer sales of 182-day T-bills occurred at the time needed to complete a ride, suggesting that no trader benefited through the interdealer market. They also show that selling the seasoned bills at the end of the ride in the new 91-day on-the-run secondary market or its when-issued market would have provided higher returns than the returns computed using the FRED data. But to generate $1 million of annual riding returns would require capturing 85% of the available market volume every week. The authors conclude that riding the T-bill yield curve continues to appear viable across time because of transaction volume limitations.TOPICS: In markets, portfolio theory