This research proposal is intended to approach the development of futures contracts to hedge equity portfolios in Colombia. Thanks to the changes in the regulation introduced in 2007, the development of investment funds began, including exchange funds. These funds are internationally known as ETFs and can replicate certain sector or an index offering new vehicles to enter the market. At the same time allow design portfolios diversified capital preservation structures, using derivatives. The market has become more dynamic to the extent that the primary issues made in the last years have matured; the market mass has grown with the entry of new investors. For example, in 2011, approximately $ 13 billion pesos in shares were emitted in the primary market, making the country an attractive investment target for the following years and allowing issuers to raise capital to launch their projects. This research proposal begins with a description of the risks of investment portfolios in shares and continues with a model that facilitates the creation of investment portfolios. The above with a measurement of the associated risk. Later, a futures contract on a stock index (COLCAP) is designed, developing in turn a (risk) hedge through a futures contract. In the end, a case study is presented to illustrate the application of risk coverage.