This report compares the all-in cost of replicating the S&P 500 total return via equity index futures and ETFs. Given the diversity of clients and potential uses for both ETFs and futures, there is no “one-size-fits-all” answer to the question of which is more cost efficient. The optimal choice depends on the details of both the client and the specific trade.

The approach is therefore to consider four common investment scenarios – a fully-funded long position, a leveraged long, a short position and a non-US investor – and compare the costs of index replication with futures and ETFs in each. While these scenarios do not represent all possible applications for either product, they cover the majority of use cases and analysis of the scenarios provides insights into factors that investors should consider when making their implementation decisions.

This analysis compares the CME E-mini S&P 500 future (ticker: ES) with the three US-listed S&P 500 ETFs: SPDR S&P 500 ETF (SPY), iShares Core S&P 500 ETF (IVV) and Vanguard S&P 500 ETF (VOO).

A copy of the report can be downloaded here.