Dealers fear death of dividend risk premia strategy

Shrinking returns on so-called pull-to-realised premium in dividend futures strategies blamed on overcrowding and increased earnings risk

Some strategists say shrinking returns are a result of overcrowding

A popular risk premia play on European dividend futures may have run its course, dealers fear, with returns from capturing the so-called pull-to-realised premium in short-term dividend futures having all but evaporated.

"Over the last two years, this strategy has made almost no money," says Stanislas Bourgois, head of equity derivatives strategy at Credit Suisse in London.

Dividend futures on equity indexes typically trade at a discount to forecast realised levels because of the perceived risk

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

What gold's rise means for rates, equities

It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here