Chua, Choong Tze; Koh, Winston; Ramaswamy, Krishna - In: Applied Financial Economics 15 (2005) 17, pp. 1213-1218
We test the efficiency of the US Treasury market by comparing the performance of two yield-spread mean-reverting trades, a 'riding the yield curve' trade and a comparable strategy in the S&P Index. From 1969 to 2000, 'riding the yield curve' and the S&P index are approximately equidistant from...