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Stats › Intraday and market microstructure › Auction cycle

Treasury prices fell into auctions and rose after them, until it stopped replicating

2-year note: 8.89+8.892-year note5-year note: 22.54+22.545-year note10-year note: 23.84+23.8410-year note

Return differential after minus before the auction, over five days, in basis points. t statistics 2.69, 3.67 and 1.78. January 1980 to June 2008. The two-year is highlighted because it is where the published strategy test was run and where the t statistic is cleanest relative to the size of the move.

Two-year note yields peaked on auction day and sat below that level both before and after. The round trip paid 8.62 basis points over ten days with a Sharpe of 1.08. A 2025 study finds no pre-auction trend at all.

8.62 bpTen-day strategy P&L on the two-year note, t = 3.65, Sharpe 1.08
1.46 bpEstimated round-trip transaction cost, about 35 bp a year
+49 bpEquity spillover: CRSP value-weighted over five days around two-year auctions
-1.04 bpWhat a 2025 study finds over three days, with no pre-auction trend

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Below this point there are 5 sections and 3 named sources, roughly 700 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.