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

    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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