International - Beyond the Future: ETFs as Financial Instruments
- U. Marchioni; C. McNaught
- Derivatives & Financial Instruments, 2015 (Volume 17), No 1
- 6 February 2015
For index Futures, a persistent richness of the Futures roll versus its fair value has been observed across several contracts over the last 12 to 15 months – particularly towards year-end. This article covers the drivers behind this and presents a framework to assess the performance drag which might be experienced versus the benchmark by a fully funded investor choosing to track an index with a Futures contract rather than with an exchange-traded fund (ETF).