PT - JOURNAL ARTICLE AU - Lars Jaeger AU - Pietro Cittadini AU - Michel Jacquemai TI - Case Study AID - 10.3905/jai.2002.319046 DP - 2002 Jun 30 TA - The Journal of Alternative Investments PG - 73--80 VI - 5 IP - 1 4099 - https://pm-research.com/content/5/1/73.short 4100 - https://pm-research.com/content/5/1/73.full AB - 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.