ASX Bond Roll Forecast Review (June 2020 to June 2021)

August 11, 2021 - We have been issuing forecasts for 10-year (XT) and 3-year (YT) Australian bond futures traded on ASX since last June. This paper examines the accuracy of our large-trades-based forecast for the past five roll periods. The forecast was 89% accurate for the ASX 10-year bond future and 78% accurate for the ASX 3-year bond future.

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