90 day T-bill

[nfactorial]

Hi,

Do I need to commit my money for 90 days in order to get the 90 day t-bill rate?
What happens if I want out after 30 days?

Thanks.

 

[Martinghoul]

No, you can buy and sell bills (obviously, if your broker allows this)... Just be aware of the bid/offer.

 

[abattia]

Quote from nfactorial:

Hi,

Do I need to commit my money for 90 days in order to get the 90 day t-bill rate?
What happens if I want out after 30 days?

Thanks.

The actual rate you'll get will be determined by the difference between your entry and exit prices.

To be certain of getting the 90 day t-bill rate, you'll need to hold for the 90 days. Holding for less will mean you can't be certain of the rate; it may be more, or may be less ... this will depend soley on the price you get when you exit.

 

[nfactorial]

I understand.

I'm backtesting a market timing strategy back to the 1970's where in a given month I either hold a security or stay in cash.

Can I assume the the return on cash will be the closest 90 day t-bill rate? Or should I assume the rate times 2/3 or 1/2?

The 30 day t-bill rates data doesn't go back far enough.

 

[Martinghoul]

It's fair to assume you get the current t-bill yield (obv, that's always quoted on an annualized basis).

 

[nLepwa]

I used 2/3 of 90 t-bill rates before.
It gives you a safety margin for commissions too.

Ninna