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If you trade on margin (which will most likely be the case for small accounts), i think you'll pay borrowing costs whether you're long or short.

Thanks for the answer Rob. Indeed, i forgot about the interest charged on margin. Using etfs is then beneficial if futures are not possible, and if the increase you gain in sharpe by adding another market is > 0.02. I wonder if you've done a study on the marginal increase in sharpe you gain by...

Hi all, What do you guys think about using etf's instead of futures for small account sizes ? The fees are not that high, and it could be worth it to pay them from a diversification point of view instead of sticking with just 2 or 3 futures asset classes, plus it allows us to avoid fractional...