How the Treasury’s Shift to More Bills and Fewer Long Bonds Affects Quant Strategies
Research preview
The U.S. Treasury announced it will curb the issuance of long‑dated securities and increase the supply of Treasury bills starting next month. This change reshapes the supply‑demand dynamics across the curve and creates new opportunities—and risks—for systematic traders. Below we unpack the mechanics, explore the implications for common quantitative models, and outline concrete steps to adjust your portfolio. The supply change in plain terms The Treasury’s decision means fewer new 10‑year and 30‑year notes will be auctioned, while the volume of 4‑week and 13‑week bills will rise....
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