@article {Mercer131, author = {Jeffrey M Mercer and Mark E Moore and Drew B Winters}, title = {Do Traders Benefit from Riding the T-Bill Yield Curve?}, volume = {36}, number = {1}, pages = {131--140}, year = {2009}, doi = {10.3905/JPM.2009.36.1.131}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textendash}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}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/36/1/131}, eprint = {https://jpm.pm-research.com/content/36/1/131.full.pdf}, journal = {The Journal of Portfolio Management} }