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Author: bjbernard One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 35468  
Subject: "Rolling Down" the Yield Curve? Date: 5/2/2002 4:04 PM
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Hello -

I've been reading lately about "Rolling Down" the Yield Curve. I was about to buy treasuries maturing in one and two years, because I will have some major purchases around that time. However, after reading some articles about rolling down, I thought I could take some interest rate risk and buy 2 and 3 year treasuries and then sell them when they have 1 year left until maturity.

I have a few questions about this - first is it economical to roll down if I have 15-20K to invest in treasuries (commissions/spreads)? Second, is there any sort of calculation giving the risk-adjusted returns or just calculating a sharpe ratio type of figure? I'm fairly certain that the fed-funds rate will rise in the next 1-2 years, but if I can go with longer duration maturities, potentially get extra yield, and not have too much more risk, that would be great.

Thank you,

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