Futures contract collateralization and its implications
调整期货收益率以明确考虑最低保证金及其回报，发现完全与部分抵押下收益率差异在价格和保证金波动大时才显著，质疑期货的分散化收益。
Defining a futures return as the rate of change of futures prices, as done in many empirical studies, implicitly implies that a futures contract is fully collateralized. We adjust futures’ returns to explicitly account for holding the minimum margin (collateral) and the return to this collateral. Different collateral choices of the futures affect the dynamic properties of returns to futures contracts and modify their risk profile. In our empirical study, we document these discrepancies under full and partial collateralization. The discrepancy is minimal except when the futures prices and minimum margins are volatile. Our analysis calls for a review on the extent of diversification benefits offered by futures.