Lets say you don't want any leverage, and you'll hold both for a year. A. You buy 1 ES, with full excess cash ($50 x index; now at 1245) $62,250 in your account. B. You buy $62,250 worth of SPYs, about 500 shares. Does one gives an edge over another? If you placed ALMOST all your $62,250 (not all to allow for the required margin with some room for fluctuation) in T-Bonds as collateral, you'd get a little more?