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International - Beyond the Future: ETFs as Financial Instruments

Country:
International
Author:
U. Marchioni; C. McNaught
Issue:
Derivatives & Financial Instruments, 2015 (Volume 17), No 1
Published:
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).
 
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