Do Traders Benefit from Riding the T-Bill Yield Curve?

Can broker–dealer client surveys provide signals for debt investing?

“…These Information Ratios are very close to 1.05, the previously calculated IR using on-the-run Treasuries. The flexibility of implementing the Treasury trading strategy in different financial instruments may allow a more cost-effective implementation of the strategy, as managers may choose financial instruments in order to minimize trading costs and mitigate the transaction volume limitations highlighted by Mercer et al (2009) portfolio.…”

Riding the yield curve: a spanning analysis

“…7 Dyl and Joehnk (1981), Ang et al (1998) and Chua et al (2005) provide evidence both in support of and against riding. Pelaez (1997) and Bieri and Chincarini (2005) conclude that the increase in risk from riding outweighs the benefit, while the results in Grieves and Marcus (1992), Grieves et al (1999) and Mercer et al (2009) tend to support a riding strategy. 8 Dyl and Joehnk (1981) and Grieves et al (1999) find that conditioning on the slope of the yield curve improves the success of a riding strategy, while Grieves and Marcus (1992) and Ang et al (1998) find it does not.…”

“…Ang et al (1998) use a 3-month horizon and consider investments in a sixmonth bill or a one-year horizon and a two-year bond. Dyl and Joehnk (1981) analyze investments only in bills of maturities of less than 26 weeks, while Mercer et al (2009) consider only 91 and 182-day Treasury bills. Pelaez (1997) considers only investments in a two-year bond, Pilotte and Sterbenz (2006) and Chua et al (2005) analyze investments in a five-year bond.…”