We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...

This paper evaluates returns from capturing term premium using interest rate futures across eight major currencies, with a focus on USD. We show that the implied future yield from interest rate futures tends to overestimate the realized short term interest rate and this premium can be captured...