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.

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