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On a 1-year basis, the strategy would NOT have been profitable. Using June futures as a proxy for cash, the 10-year would have lost about 6 handles.

However, the Greek debt problem (and the PIIGS generally) did not manifest itself until late in 2009, so a fairer analysis in light of my comment would be to start the comparison period in November or December, in which case all of the 30-year, 10-year, and 5-year would be showing profits.

As ever, it's not only a question of WHAT to compare, but OVER WHAT PERIOD to compare.

Keep in mind, though, that -- as noted -- this situation is entirely temporary. The very minute that Euro PIIGS debt looks like it may be starting to normalise, US debt, especially the long-dated paper, is going to take a huge hit.

FReegards!

On a 1-year basis, the strategy would NOT have been profitable.

Thanks.

As ever, it's not only a question of WHAT to compare, but OVER WHAT PERIOD to compare.

A statement like that makes me suspect the risk free trade isn't really risk free.

US debt, especially the long-dated paper, is going to take a huge hit.

But...but...that would cause the risk free trade to lose a bunch of money. LOL!

Thanks again.