RT Journal Article SR Electronic T1 Case Study JF The Journal of Alternative Investments FD Institutional Investor Journals SP 73 OP 80 DO 10.3905/jai.2002.319046 VO 5 IS 1 A1 Lars Jaeger A1 Pietro Cittadini A1 Michel Jacquemai YR 2002 UL https://pm-research.com/content/5/1/73.abstract 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.