Risk free rate in a future

[Cook2014]

Does someone have a good explantion why I have in a future the exposure to an index, but no risk-free rate?
eg synthetic equity = long risk-free asset + long stock index future?
Thanks in advance

 

[thefirstrule]

I dont quite get your question but from what I understand, you’re asking why we don’t say we have an exposure to risk free rate but say we have an exposure to index, based upon the equation above.
If that is what you’re saying, then I believe we only say we have an ‘exposure’ to something when we’re exposed to its risk. And risk free assets do not have any risk.

 

[Galli]

I think what you’re referring to is basis risk.
The difference between cash and future’s market is the basis risk. One component of this difference is determined by the risk-free rate.