%0 Journal Article %A Lars Jaeger %A Pietro Cittadini %A Michel Jacquemai %T Case Study %B The SGFI Futures Index %D 2002 %R 10.3905/jai.2002.319046 %J The Journal of Alternative Investments %P 73-80 %V 5 %N 1 %X A passive investment strategy in futures markets is presented, which is based on the economic function investors in futures markets provide to commercial hedgers: risk transfer. The risk-return characteristics of the strategy are discussed, and the enhancement through inclusion of the index in a traditional portfolio is presented. %U https://jai.pm-research.com/content/iijaltinv/5/1/73.full.pdf