Transcription of The Big Picture: A Cost Comparison of Futures and ETFs
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The Big Picture: A Cost Comparison of Futures and ETFs
The Big Picture: A cost Comparison of Futures and ETFsSecond Edition11 Thishr1epot1c1m1al 1-hnifEXECUTIVE SUMMARY This report compares the all-in cost of replicating the S&P 500 total return via equity index Futures and exchange-traded funds ( etfs ) across a variety of use cases and time horizons. The specific products used in the analysis are the CME E-mini S&P 500 future and the three listed S&P 500 etfs : the SPDR SPY, iShares IVV and Vanguard VOO. The analysis begins with a detailed look at the components of total cost and the assumptions that underlie the calculations, which includes observations about recent changes in the implied financing rates of Futures and the drivers of these moves.
1 • Thishr1epot1 c1 m1al 1-hnif 2 INTRODUCTION This report compares the all-in cost of replicating the S&P 500 total return1 via equity index futures and ETFs. …
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