@article {Mattar57, author = {Patrick Mattar and Ursula Marchioni and Sofia Antropova and Ross Finlayson}, title = {Evaluating Investor Outcomes when AccessingEquity Indexes through Derivatives and ETFs: An Update }, volume = {7}, number = {3}, pages = {57--74}, year = {2016}, doi = {10.3905/jii.2016.7.3.057}, publisher = {Institutional Investor Journals Umbrella}, abstract = {When seeking to replicate the performance of an equity index, investment vehicle selection can heavily influence an investor{\textquoteright}s outcome. In this article, the authors consider recent performance outcomes for beta investors employing both derivative and exchange-traded fund (ETF) vehicles for index replication. They find that, although end-user positioning has always been a driver of derivative pricing, this element has grown in influence. Similar dynamics apply to equity swaps, as both futures and swaps markets have common fundamental drivers: supply/demand pressures and leverage. The authors propose a vehicle selection framework, based on a quantitative assessment, that could help investors measure the precision of index replication.TOPICS: Exchange-traded funds and applications, derivatives, portfolio construction}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/7/3/57}, eprint = {https://jii.pm-research.com/content/7/3/57.full.pdf}, journal = {The Journal of Beta Investment Strategies} }