The search for relative value in bonds

An Overlooked Coupon Effect in Treasury Futures Contracts

Grieves, Robin, (2004)

An overlooked coupon effect in treasury futures contracts

Grieves, Robin, (2004)

FIXED INCOME - Riding the Bill Curve - The authors examine the effectiveness of"riding the bill curve" using a comprehensive sample of US 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 ...

Grieves, Robin, (1999)