This paper evaluates returns from capturing term premium using interest rate futures across eight major currencies, with a focus on USD. We show that the implied future yield from interest rate futures tends to overestimate the realized short term interest rate and this premium can be captured by establishing and rolling long positions in futures contracts. This strategy delivered a Sharpe ratio of 0.94 versus 0.48 for Treasuries and 0.36 for S&P over the 23 year back testing period for which data is available. The term premium return is negatively correlated to equity returns and therefore fits well into a portfolio that is long risky assets. Additionally, the rates futures term premium strategy outperforms a long Treasuries strategy both on a standalone risk-adjusted basis and as a combination asset with an equity portfolio.