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This paper presents non-parametric estimates of spectral risk measuresapplied to long and short positions in 5 prominent equity futures contracts. Italso compares these to estimates of two popular alternative measures, theValue-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk measures areconditioned on the coefficient of absolute risk aversion, and the latter twoare conditioned on the confidence level. Our findings indicate that all riskmeasures increase dramatically and their estimators deteriorate in precisionwhen their respective conditioning parameter increases. Results also suggestthat estimates of spectral risk measures and their precision levels are ofcomparable 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