ABSTRACT
While few studies have questioned the effectiveness of financial futures in providing minimum risk positions, in adding incremental return to established spot portfolios or in improving efficient frontiers, many of the studies of the effectiveness of financial futures have been characterized by ad hoc resolution of three potentially important issues in research design: (a) the pricing model used to measure expected price performance, (b) the performance criteria used in determining the inclusion of futures contracts in an asset position and (c) the return form used in the analysis.
