I am trying to grasp the difference between ETFs and index futures. I apologize in front for my ignorance. When using margin (either long or short) on ETFs you are getting charged margin interest. However my understanding with futures the margin is not debt, but just a good faith deposit. However the futures are also depended of the cash market, dividends paid , interest rate and the date of the contract. Assuming no dividends, there will be always premium of the contract over the cash index. Over time the premium disappears. If we assume that the highest probability of the index to remain unchanged (actually there will be always slight positive bias, because of growth and inflation, but lets ignore that as well), there will always statistical advantage to be on the short side. If my understanding is correct is there is a single advantage of shorting QQQ vs. short NQ? And since the margin rate is always greater then the risk free rate is there some advantage for ETFs that offset this?
may want to read http://www.elitetrader.com/vb/showthread.php?s=&threadid=11388 http://www.elitetrader.com/vb/showthread.php?s=&threadid=29910 it also seems that there maybe more important considerations than margin interest paid