Exchange Traded Funds and E-Mini Stock Index Futures / Edition 1

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Why invest in individual stocks when you can invest in a basket of stocks that track the major domestic and global indices as well as important sectors such as technology, energy, or financial issues? The emergence of index products-first mutual funds, then index futures, and now exchange traded funds-has resoundingly answered this question with their profitability and widespread acceptance over the last few years.

Arguably the most popular new products in the investment world, exchange traded funds (ETFs) and E-mini stock index futures (the "E" standing for electronic market access) have achieved more success than even the most radically optimistic forecaster could have predicted. Industry executive and expert in the field, David Lerman, reveals the intricacies of these products, how to use them, and what the future holds for these exciting investment vehicles.

Launched in 1993, the first exchange traded fund-the S&P 500 Depositary Receipts (SPDRs, affectionately known as "Spiders")-combined low costs, greater tax efficiencies, and superb liquidity for investors. This book explains dozens of new ETFs, including the popular QQQs, iShares, and streetTRACKS, and will teach you how these tools are used for long-term and short-term strategies in broad-based and sector indices. It also discusses in depth how the E-mini S&P 500 and other E-mini Nasdaq-100 futures allow traders to profit on the direction of indexes.

Exchange Traded Funds and E-mini Stock Index Futures offers investors, traders, investment advisors, and brokers a full-scale examination of these extraordinary products including:

• The nuts and bolts of ETFs and E-mini stock index futures, including the advantages and attributes of each product, the basics of stock index futures from the clearinghouse to performance bond margins, and contract specifications

• How ETFs and E-mini stock index futures can fit into nearly any investor's portfolio and reduce costs, increase returns, and alleviate the tax burdens commonly associated with traditional mutual funds

• Blending active management and indexing to create "core-satellite" strategies widely implemented by institutions

• How to use E-mini stock index futures for trading and spreading strategies, hedging, and other risk management strategies

With numerous charts, graphics, and case studies, Exchange Traded Funds and E-mini Stock Index Futures is a valuable resource for anyone looking to understand these tools and obtain superb results.

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What People Are Saying

From the Publisher
'The publishing of Exchange Traded Funds and E-mini Stock Index Futures provides investors, retail and institutional alike, great insight as to the structural advantages and applications of these two innovative investment and trading instruments. The launch of these products continues the trend of democratization of index investing empowering more investors to capitalize on the virtues of indexing. Mr. Lerman's book is a great reference tool to gain a better understanding of these exciting products.? (Nick Lopardo, Vice Chairman, State Street Corporation, and Chairman & CEO, State Street Global Advisors)

• This book is a must-read for anyone thinking of investing/trading in Exchange Traded Funds (ETFs) and E-mini stock index futures! Lerman combines excellent research with practical examples to provide a comprehensive analysis of one of the fastest growing products in all of finance.? (Jay Baker, Vice President of Exchange Traded Funds Marketing, Spear, Leeds & Kellogg)

'David is one of the most powerful communicators in the industry. His succinct style and practical examples make this book a must-read for anyone thinking of investing in ETFs and E-mini stock index futures. Standard & Poor's is proud to have played a role in the success of these innovative and exciting new products.? (Shirley Petersen, Vice President, Global Licensing, Standard & Poor's Corp.)

• Here's a great guide for those looking to get started in index investing and to learn how by using Wall Sybex's most successful new investment vehicles-exchange traded funds and E-mini stock index futures.?(Erin Arvedlund, Staff Writer, Barron's magazine)

'The ownership of index funds is a must for all long-term investors. David Lerman has done a terrific job of explaining everything you need to know in order to take advantage of the broad array of index fund products on the market. He shows just how simple it is to be a participant in funds that routinely outperform nearly every money manager in existence.? (Lawrence G. McMillan, author of McMillan on Options and President, McMillan Analysis Corp.)

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Product Details

  • ISBN-13: 9780471442981
  • Publisher: Wiley
  • Publication date: 10/1/2001
  • Series: Wiley Trading Series, #110
  • Edition number: 1
  • Pages: 336
  • Product dimensions: 6.34 (w) x 9.67 (h) x 1.12 (d)

Meet the Author

DAVID LERMAN is the Associate Director of Equity Index Products Marketing at Chicago Mercantile Exchange Inc. Lerman was previously a member of the Chicago Board of Trade, where he traded futures and options on U.S. Treasury Bonds. He was also Senior Portfolio Manager at Zavanelli Portfolio Research, a Park Ridge, Illinois, investment management firm. Lerman taught investment management at Harper College and has lectured at the Northwestern University Kellogg Graduate School of Management. He received his BA in biochemistry from the University of Chicago.

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Table of Contents




From Random Walk to a Trillion-Dollar Phenomenon: Why Indexing Works So Well.

The Players.

The Indexes.


ETFs: Beginnings, Advantages, Attributes.

Details: ETF Structures, the Creation-Redemption Process.

General Strategies Using ETFs.

ETF Highlights.


E-Mini Stock Index Futures: The History and Basic Nomenclature.

E-mini Stock Index Futures: Contract Highlights, Trading Fundamentals, Basis, and Fair Value.

Short-Term Strategies Using E-mini Stock Index Futures and ETFs.


Longer-Term Strategies: Asset Allocation with ETFs.

Risk: The Most Ignored Four-Letter Word.

ETFs Beyond the United States.

The Future of ETFs and E-mini Stock Index Futures: The Road Ahead.

Frequently Asked Question (and Answers) About ETFs and E-Mini Stock Index Futures.

Appendix 1: Electronic Trading Considerations.

Appendix 2: ETFs and Small-versus Large-Cap Cycles.

Appendix 3: Index Arbitrage and Program Trading.



Suggested Reading.

Recommended Web Sites.


Answers to Quizzes.


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