Riding the bill curve - This effective strategy is as simple as it is well-known
Abbreviated Journal Title
J. Portf. Manage.
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 of Portfolio Management
"Riding the bill curve - This effective strategy is as simple as it is well-known" (1999). Faculty Bibliography 1990s. 2653.