On December 31, 2007 the E-mini futures closed at 1477.25, while the S&P 500 index closed at 1468.36. The dividends during 1Q 2008 are expected to be around 7 points. Thus investors would have to achieve around 16 points in interest income just to break even. In order to achieve 16 points from interest, you need to have interest income of around 1.08% per quarter, which is an APY of 4.37%. Any yield that the investor can achieve above 4.37 % APY would result in him/her outperforming the index. In today’s environment of rapidly declining interest rates though, it might not be possible to outperform the market using S&P 500 futures. Using the interest rates from this website https://www.bankmw.com/Rates.aspx i was able to construct the following ladder ( on your left).
Tomorrow I would post my ideas on outperforming the market using an enhanced strategy.