Is the Futures Market for Treasury Bills Efficient?

In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury bills, although such opportunities have ebbed as the market continued to mature. This paper shows that the summary statistics reported by Puglisi are misleading and may be misinterpreted, that the Treasury bill futures market may be used to increase returns, and that the spot and futures market must be evaluated for such purposes only on a daily basis.