The purpose of this paper is to characte rize a portfoli o strategy that exploits the informat ion conveyed by empirica l rejectio ns of the termstructur e Expectat ions Hypothes is.After providin g new evidence on such rejectio ns, the analysis derives optimal portfoli o position s across Treasury bills of 1 through 6 months maturiti es and gives a quantita tive assessme nt of the implied risk/ret urn tradeoff s.