Performance Persistence. Evidence from the US Treasury Notes Futures Contracts in Relation to the Term Structure of Interest Rates

In this article, we test performance persistence and volatility fluctuations of the prices of the treasury note futures contracts based on the US term structure of interest rates. The sample investigated is over the period 2010 to 2020. We test 50 Treasury note futures commodity trading advisors, CTA, hedge fund in relation to different interest rates. We focus on 2 year, 5 year, and 10 year Treasury note. This is the first study that provides a detailed analysis of performance persistence, volatility and embedded options on convertible Treasury note using data from the Chicago mercantile exchange, CME, derivative market and NASDAQ website. We find that the term structure of interest rates of the US market affects the pricing of Treasury note futures contracts in terms of bid and ask percentage, historical volatility and embedded options on convertible Treasury notes futures. We find strong evidence of performance persistence in the US fixed income market over the third, and the fifth year periods. There is evidence of strong performance persistence of Treasury note futures that show positive and superior performance during the medium to longer- term. The results are mixed for both winners and losers. The findings are interesting to the academic society, investors and practitioners