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Results for “t-bill” · papers 2 · wiki 2
Academic Papers · 2arXiv q-fin live 2 · desk corpus 0
arXiv · arXiv q-fin · 2024

Refining and Robust Backtesting of A Century of Profitable Industry Trends

We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39. While the results outperformed benchmarks, practical implementation raises concerns about robustness and evolving market conditions. This study explores modifications addressing r…

Alessandro Massaad, Rene Moawad, Oumaima Nijad Fares, Sahaphon Vairungroj
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arXiv · arXiv q-fin · 2026

Shifting Correlations: How Trade Policy Uncertainty Alters stock-T bill Relationships

This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions, alter the traditional stock-T bill relationship and its implications for investors. We extend the Dynamic Conditional Correlation (DCC) framework by incorporating exogenous variables …

Demetrio Lacava
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Wiki Entities · 2
Liquidity

TED Spread

TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.

Rates

Bill Supply Shock

Bill Supply Shock — Large T-bill issuance absorbing cash and lifting front-end yields.

Option Blackboard · 0
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Encyclopedia · 1
Rates · Foundations

Bill Supply Shock

Bill Supply Shock — Large T-bill issuance absorbing cash and lifting front-end yields.

Cards · 0
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