Dealers fear death of dividend risk premia strategy

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