Predictable Monthly Pattern for TLT?
March 4, 2024 - Bonds, Calendar Effects
Does iShares 20+ Year Treasury Bond ETF (TLT) exhibit a predictable monthly pattern due to beginning-of-month dividends and mid-month U.S. government consumer and producer inflation releases? To investigate, we calculate average cumulative return for TLT across the month (from trading day 1 through trading day 23). We also investigate exploitability of findings. Using daily raw… Keep Reading