TY - JOUR T1 - Case Study JF - The Journal of Alternative Investments SP - 73 LP - 80 DO - 10.3905/jai.2002.319046 VL - 5 IS - 1 AU - Lars Jaeger AU - Pietro Cittadini AU - Michel Jacquemai Y1 - 2002/06/30 UR - https://pm-research.com/content/5/1/73.abstract N2 - 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. ER -