Morningstar Style Index Futures

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Morningstar Style Index futures are electronically traded futures contracts offered by the US Futures Exchange (USFE). The contract specifications are based on the contents of Morningstar, Inc.'s Style Box, a means of categorizing securities in a two-dimensional matrix of market capitalization and valuation.

The Style Index contracts provide additional tools to investors for portfolio balancing, sector selection and outright trading. Traders with risk in specific market sectors can balance their risk by trading the appropriate index contracts. They can be used in strategies that require different opportunity and risk exposure in different sectors, and allow traders to hedge one market sector against another.

The Indexes

There are nine index contract types in all, matching the nine boxes of the 3x3 Style Box.

Each of the contracts trades in index points with a tick size of 0.5 points, and a contract size of Index Point x $10. Tick value, therefore, is $5.

Contracts will be offered for the quarterly months of March, June, September and December.

All contracts are cash settled, with the last trading day set as the third Friday of the contract month. The final settlement price is set as the opening prices of the component stocks on the final settlement day, as reported by Morningstar.

Specifically, the USFE offers the following index contracts:

Large Cap Growth Large Cap Core Large Cap Value
Medium Cap Growth Medium Cap Core Medium Cap Value
Small Cap Growth Small Cap Core Small Cap Value

References