The Euro Bund futures contract shows weak seasonal performance during the futures expiration week.
The contract has ticker code FGBL, is issued by Germany, has a maturity between 8.5 and 10.5 years, and one contract has a value of 100 000 EUR. It’s a heavily traded futures contract that expires four times per year: on the third Friday of March, June. September, and December.
The expiration weeks in the US
We have previously covered the options expiration weeks in both the US and EU:
Trading the futures expiration week in Euro Bund
Let’s go straight to our backtest of the Euro Bund:
We test the futures contracts – not the cash index – and we use a 100% margin. 100 000 is invested in March 2000 and reinvested into the next quarterly futures expiration week. Thus, there are four trades a year.
We invest at the close of the Friday one week before the futures contracts expire, and we hold for one week and sell at the close the next Friday at settlement/expiration day. No commissions or slippage.
This is the equity chart of the Euro Bund during the futures expiration week:
The average gain is a negative 0.06% and the win ratio is 57%. The average gain of any random week is 0.1%.
If we look at the performance for each separate month, we get these results:
The first column shows the respective months. All months are negative except for an outlier (?) in December when most markets have a Santa Claus Rally.
