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Stats › Intraday and market microstructure › Month-end Treasuries

Treasuries returned 25 basis points in the last three days of the month for twenty eight years

30 year on the run, last day, SE 0.05
0.25%
10 year futures, last three days, SE 0.02
0.17%
10 year off the run zero, last day, SE 0.03
0.14%
10 year on the run, last day, SE 0.03
0.13%
10 year futures, last day, SE 0.01
0.09%
10 year on the run, second-last day, SE 0.03
0.07%

Average excess returns in percent, Treasury month-end windows, January 1990 to end 2018. The on the run figures control for auctions. The corresponding ten year swap yield falls 1.61 basis points on the last day and 2.52 basis points over the last three, which is the same effect measured in yields.

Ten year Treasuries returned about 25 basis points over the last three trading days of the month from 1990 to 2018, with a Sharpe ratio of about 0.88. Insurer purchases on the final day alone exceed their net purchases on all other days combined.

About 25bpTen year excess return over the last three days of the month
About 0.88Sharpe ratio of that window
0.25%Thirty year on the run, last trading day, standard error 0.05
0.17%Ten year futures, last three days, standard error 0.02

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