Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

The consensus suggests that subdued nominal U.S. Treasury yields on balance since the onset of the global financial crisis primarily reflect exceptionally low, if not occasionally negative, term premiums as opposed to low anticipated short rates. Depressed term premiums plausibly owe to...

Previous studies suggest that trading conditions in the secondary market for nominal U.S. Treasury (UST) coupon securities embeds critical information about global financial market liquidity and the limits to arbitrage. We propose three new general measures based on deviations of observed...

This article outlines two general approaches to disentangle expected defaults and anticipated devaluations from distressed sovereign spreads. The first uses affine term structure models and uncovered interest rate parity to extract a schedule between risk-neutral devaluation odds and exchange...

Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this...

Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this...

This study plumbs the limits of U.S. Treasuries (USTs) as a “safe asset” through lens neglected in the literature on the correlation between bond and equity returns. An asymmetric M-GARCH model confirms a shift from positive to negative correlations in recent decades. However, the variance...