period. Consider two potential vehicles to satisfy this maturity pref- erence. First, buy a 3-month bill and hold it to maturity. Second, buy a 6-month bill, and sell it after three months. If the yield curve is upward- sloping and does not change over the next three months, the 6-month bill will earn a higher return because of the increase in price due to the decrease in yield relative to the forecast at which it was priced. As a result, investors will collect an additional return. For example, suppose a 91-day bill and a 182-day bill are yielding 5% and 5.25% on a bank discount basis, respectively (5.06% and 5.25% as money market yields). Buying and maturing the 91-day bill will generate a 91-day return of 1.28%. Buying the 182-day bill and selling after 91 days will generate 1.43% return over the same 91-day period if the yield curve remains unchanged. Robin Grieves, Steven V. Mann, Alan J. Marcus, and Pradipkumar Ramanlal examine the effectiveness of riding the yield curve using Trea- sury bills for the period January 2, 1987, through April 20, 1997.17 They find that riding the yield curve on average enhances return over a given holding period versus a buy-and-hold strategy. Exhibit 3.10 pre-   17See Robin Grieves, Steven V. Mann, Alan J. Marcus, and Pradipkumar Ramanlal, "Riding the Bill Curve," The Journal of Portfolio Management (Spring 1999), pp. 74-82. THEGLOBALMONEYMARKETS     sents summary statistics for the differences in holding period returns. These return differences are reported in basis points. Panel A presents the mean, median, minimum, maximum, and the percentages of return differences that are positive (i.e., meaning the riding strategy outper- forms the buy and hold) for the 3-month holding period. Panel B pre- sents the same information for the 6-month holding period. For a 3-month holding period, the results in Exhibit 3.10 indicate that riding the yield curve using 6-month bills provides an additional 10 basis points in returns on average and outperforms a buy-and-hold strat- egy over 82% of the time. Rides using longer bills increase the additional return, with a corresponding decrease in the percentage of rides that beat the buy-and-hold. For the 6-month holding period, the results suggest a similar story. A 6-month ride using the 9-month bill adds approximately 16 basis points on average, is effective 80% of the time, and has the high- est (i.e., the most desirable) minimum return of all five riding strategies examined. A ride using the 12-month bill adds about 25 basis points on average and outperforms the buy-and-hold strategy 71% of the time. Of course, the higher returns generated by the riding strategies come at the expense of higher variability and the possibility of negative returns. However, Grieves, Mann, Marcus, and Ramanlal provide evidence which