E-mini S&P Select Sector Index Futures Strategy Paper

Tools for Hedging or Replicating Investment-Style Portfolios

Flexible E-mini S&P Select Sector index futures contracts have multiple applications. They can be used individually to adjust sector weights, as overlays with E-mini S&P 500 futures to adjust exposure for an existing positions, and more. This paper discusses how portfolio manager may use them as a means to better replicate or hedge investment-style exposure, and includes examples.

When portfolios were created to replicate investment-style performance (using E-mini S&P Select Sector futures overlaid with S&P 500 futures) and then compared to respective S&P style index portfolios, the resulting performance tracking errors were consistently low and stable, offering much better results than attempts to replicate performance using S&P 500 futures alone.

Read the Strategy Paper

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn