Simple, Practical Test of VRP as IEF Return Predictor
February 9, 2017 - Bonds, Volatility Effects
“Equity Market and Treasuries Variance Risk Premiums as Return Predictors” reports a finding, among others, that the variance risk premium for 10-year U.S. Treasury notes (T-note) predicts near-term returns for those notes (as manifested via futures). However, the methods used to calculate the variance risk premium are complex. Is there a simple way to exploit the… Keep Reading