CME Group Equity Index White Papers

[Soultrader 12]

Research reports received courtesy of CME Group to be posted on TL. Enjoy!

-Leveraged ETFs verse Futures: Where is the Missing Performance?

 

Leveraged ETFs have garnered plenty of attention of late, for a couple of reasons: They provide an alternative way for investors to deploy leverage in their investment portfolio. They also provide investors a way to “short” the market, either as a hedging or speculative tool. One of the knocks on leveraged ETFs is the observation that they tend to underperform their respective indexes (after adjusting for their leverage level). In this article, we highlight one very important source of the under-performance, and discuss some possible remedies using equity index futures and options.

 

 

-Improving Order Execution: The Ascent of E-mini Equity Index Futures and What it Means for your Bottom Line

 

The desire to effectively leverage the growth of E-mini futures has many clients asking, “Do I have the right order placement and/or execution strategy for today’s market?” The appropriate order placement strategy, of course, depends on the customer’s trading and risk-management goals, which can be unique to their circumstances. To help market participants’ identify their optimal execution strategy, we have compiled a comprehensive, quantitative review of our executed orders. Specifically, we examined:

 

• Distribution of Original Orders’ Sizes

• Speed of Execution

• Market Impact Costs

• Changes in E-mini Volume and Open Interest over the Last Five Years

Leveraged_ETFs.pdf

EQ221_OrderAnalysis0309.pdf

Edited April 29, 2009 by Soultrader