T-Bill Futures Fail to Hedge Risk, GNMA Futures More Effective.
The article examines whether Treasury Bill futures are effective for reducing price change risk. Previous research suggested GNMA futures were better, but this study found T-Bill futures can be good for hedging if the spot position includes Treasury bills deliverable against the futures contract. The researchers developed a portfolio model to account for constant yield price accumulation over time. Overall, T-Bill futures can provide good hedging opportunities when used correctly.