Title

Riding the bill curve - This effective strategy is as simple as it is well-known

Authors

Authors

R. Grieves; S. V. Mann; A. J. Marcus;P. Ramanlal

Comments

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Abbreviated Journal Title

J. Portf. Manage.

Keywords

Business, Finance

Abstract

The authors examine the effectiveness of "riding the bill curve" using a comprehensive sample of U.S. Treasury bills over a recent ten-year period. The results suggest that riding the bill curve consistently enhances returns over a buy-and-hold strategy on average. Although the additional return is associated with higher risk, the reward is sufficient for all but the most risk-averse investors. The riding strategy's performance deteriorated substantially during the Federal Reserve tightening cycle of 1994-1995. Riding the bill curve, however, is generally preferable to buying and holding relatively expensive "quarter-end" or "tax" bills.

Journal Title

Journal of Portfolio Management

Volume

25

Issue/Number

3

Publication Date

1-1-1999

Document Type

Article

Language

English

First Page

74

WOS Identifier

WOS:000080145300010

ISSN

0095-4918

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