eng Science and Education Publishing Journal of Finance and Economics 2328-7276 2024-02-20 12 1 15 23 10.12691/jfe-12-1-2 JFE20241212 article Yan He yanhe@ius.edu 1 Junbo Wang 2 Uric Dufrene 2 School of Business, Indiana University Southeast, New Albany, Indiana, U.S.A Department of Economics and Finance, City University of Hong Kong, Kowloon, Hong Kong We analyze the investment returns of Treasury Nominal Securities (TNS) and Treasury Inflation-Protected Securities (TIPS) of the U.S. from January 2003 to December 2021. We find that the month-by-month rolling investments in 5-year TNS and TIPS create similar returns, in line with the equivalence between the month-by-month rolling 5-year breakeven (BE) and Consumer Price Index for all urban consumers (CPIU) inflation rates. However, the rolling investments in 10-year TNS generate significantly higher returns than those in 10-year TIPS, consistent with the rolling 10-year BE inflation rates significantly exceeding their respective CPIU counterparts. https://pubs.sciepub.com/jfe/12/1/2/jfe-12-1-2.pdf Treasury Nominal Securities (TNS) Treasury Inflation-Protect Securities (TIPS) Yields Returns Inflation