ASX Interest Rates and OTC Markets update

2015: Improving Sharpe by hedging Australian 10y bond futures with Treasuries

Traders are constantly seeking opportunities in securities that are differentiated from the highly correlated markets of the US and Europe. Australian bond futures offer this potential, by providing exposure to the economies of the Pacific timezone. This paper provides a pedagogical introduction to the techniques traders can use to access Australian bond futures returns while minimising risk seepage from other markets, to show how timing can be optimised for a high quality of entry and levels, and to give some concrete examples of relevant trade ideas.