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Managing Risk at CME Group - How it All Works
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Hedging the Russell 1000 Index
Synthetic replication of benchmark indexes has never been easier. But with respect to indexes that are served by less liquid derivative markets, synthetic replication may boil down to two less-than-satisfactory choices. Market participants may attempt to utilize an illiquid derivative based directly upon the index of interest or they may attempt to replicate the index by using (more liquid) futures on a different index and accepting the inevitable tracking error. There is no "right" solution to this dilemma. But our analysis demonstrates that the latter solution may be quite serviceable in the context of the Russell 1000 index.
We chose to highlight the Russell 1000 index in this analysis insofar as substantial monies are benchmarked or indexed to the Russell 1000. Furthermore, it is evident that liquidity in Russell 1000 futures contracts is rather thin. Fortunately, market participants may rely upon the superior liquidity in S&P 500 and S&P MidCap 400 ("MidCap") index futures to replicate the performance of the Russell 1000 index.
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