2000 Jan. 1970-Dec. See Sources and Descriptions of Data . In fact, long bonds have volatilities on the order of five times that of the One-Year Treasury Bill. The evidence is strong. Yet long-term bonds still fill many investment portfolios.
Many investors hold long-term bonds in the hope of higher returns.
The data shows there has not been a reliable return premium for extending maturities into longer bonds. One reason this result may be surprising is that recent history does not conform to this long-term result. The data from the period 1982 through 1993 shows a tremendous premium for maturity extensions. Yet a longer perspective would indicate this outcome was more the exception than the norm. In data going back to 1926, there is no other period for bonds like the bull market of the 80 s.