Search found 2 matches

by e9329
Thu Feb 13, 2014 4:40 pm
Forum: Futures Markets
Topic: Futures vs. holding the underlying
Replies: 2
Views: 2418

For markets that have sufficient arbitrage, you can expect to approximately match the "total return" of the underlying asset, using a futures (or forward) contract, IF, in addition to holding the futures contract, you invest in "risk free" debt instruments, an amount equivalent to the notional valu...
by e9329
Thu Feb 13, 2014 2:26 am
Forum: Futures Markets
Topic: Futures vs. holding the underlying
Replies: 2
Views: 2418

Futures vs. holding the underlying

When holding the ZN (10Y Note) does the trader's total return include the coupon that one would receive if they were holding the gov't note outright or is it just a play on the price of the 10Y based on prevailing interest rates? Similarly, if a trader was to purchase a $ amount of ES futures and th...