ETF's vs Futures, a cost calculation

With all the talk of the rapid rise of ETF products and the increased usage, one would almost forget there are other products out there to efficiently achieve exposure to certain products.

Investors will always need to look what the best method of exposure is and there are many considerations. The total cost projection of building and holding the position needs to be calculated and that involves more than just transaction costs. Market impact can also be a cost factor.

The CME decided to publish a study where they compared replicating the SP500 Total Return with either equity index futures and ETF's. While they emphasize that this is just an example and that there is no 'one size fits all', they were able to draw some conclusions. 

All in all, in most cases the investor would be cheaper off, replicating the position with futures instead of ETF's. Only in the case where the investor goes for a fully funded long term position, an ETF would be cheaper.

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