Say we have a short position in an equity futures contract (240 days) on an index that has decreased in value at the 60 day mark. Why would the value be _ lower _ under the futures contract than if we held a forward contract instead?
I know the future would be marked to market and would hold positive value, since we are short and the index went down. So wouldn’t this imply that it would be higher than an identical forward contract?
Is there more to where you got that statement? The answer has to do with how the asset correlates to interest rates. Did interest rate move up as the asset decreased in value, or move down with the asset?
When the underlying is positively correlated to interest rates, than the (long position) futures > forward. When the underlying is negatively correlated to interest rates, (long position) forward > futures.