TY - JOUR T1 - Do Traders Benefit from Riding the T-Bill Yield Curve? JF - The Journal of Portfolio Management SP - 131 LP - 140 DO - 10.3905/JPM.2009.36.1.131 VL - 36 IS - 1 AU - Jeffrey M Mercer AU - Mark E Moore AU - Drew B Winters Y1 - 2009/10/31 UR - https://pm-research.com/content/36/1/131.abstract N2 - 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 ER -