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This paper presents non-parametric estimates of spectral risk measures applied to longand short positions in 5 prominent equity futures contracts. It also compares these toestimates of two popular alternative measures, the Value-at-Risk (VaR) and ExpectedShortfall (ES). The spectral risk measures are conditioned on the coefficient ofabsolute risk aversion, and the latter two are conditioned on the confidence level. Ourfindings indicate that all risk measures increase dramatically and their estimatorsdeteriorate in precision when their respective conditioning parameter increases.Results also suggest that estimates of spectral risk measures and their precision levelsare of comparable orders of magnitude as those of more conventional risk measures.Running head: financial risk measures for futures positions.

Estimating Financial Risk Measures for Futures Positions: A Non-Parametric Approach