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InTouch Capital Markets (ITC): extended trading hours in Asia lead to attractive alpha-generating opportunities

Release date: 23 Jan 2019 | Eurex Exchange, Eurex Clearing

InTouch Capital Markets (ITC): extended trading hours in Asia lead to attractive alpha-generating opportunities

Eurex Exchange has extended its trading hours into the Asian time zones, presenting an opportunity for Australia versus German Fixed Income futures trading, because in the morning this allows for effective spread trading between Eurex Bund and Schatz futures, and ASX 3y and 10y bond futures.

The ITC article shows that a simple relative value strategy can significantly improve the mean reversion, and therefore alpha generation characteristics of the Australia 3y and 10y bond futures. Using Eurex 10y Bund futures and US 10y Treasury futures, one can spread trade Australian bonds at an opportune time when their regression residuals reach near or above 2 z-scores from the mean.

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