In mid-2024, a temporary basis dislocation emerged across FTSE 100, CAC 40, and AEX futures. The portfolio team executed a market-neutral arbitrage with currency and rates hedges to isolate the relative-value component.
Implementation involved long ETF baskets versus short futures, FX forwards to neutralize currency risk, and Euro-area bond futures to control residual rate sensitivity. Execution was coordinated across desks to minimize slippage and inventory risk during the convergence window.
The trade achieved a net profit of roughly 1.2% on allocated capital within 24 hours, with execution slippage under five basis points. Post-trade review documented decision points, potential failure modes, and improvements to monitoring around liquidity shifts.