Difference between revisions of "Roll yield"

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The term "roll yield" refers to the return from rolling [[futures]] positions forward.<ref>{{cite web|url=http://74.125.45.104/search?q=cache:PlFGYlO-xqIJ:www.banque-france.fr/gb/publications/telechar/rsf/2006/etud0_1206.pdf+roll+yield+and+glossary&hl=en&ct=clnk&cd=3&gl=us|name=Commodities - An Asset Class In Their Own Right?|org=Banque de France|date=August 7, 2008}}</ref>
 
The term "roll yield" refers to the return from rolling [[futures]] positions forward.<ref>{{cite web|url=http://74.125.45.104/search?q=cache:PlFGYlO-xqIJ:www.banque-france.fr/gb/publications/telechar/rsf/2006/etud0_1206.pdf+roll+yield+and+glossary&hl=en&ct=clnk&cd=3&gl=us|name=Commodities - An Asset Class In Their Own Right?|org=Banque de France|date=August 7, 2008}}</ref>
  
If the [[futures curve]] of a [[contract]] is in [[contango]], or upward sloping, contracts [[expiring]] further out in time [[cost]] more and so rolling into [[longer-dated]] contracts loses money, resulting in a negative roll yield.<ref>{{cite web|url=http://www.capitalspectator.com/WM/2007/09/roll_reversal.html|name=Roll Reversal|org=Capital Spectator/Wealth Manager|date=August 7, 2008}}</ref>
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If the [[futures curve]] of a [[contract]] is in [[contango]], or upward sloping, contracts [[expiring]] farther out in time [[cost]] more and so rolling into [[longer-dated]] contracts loses money, resulting in a negative roll yield.<ref>{{cite web|url=http://www.capitalspectator.com/WM/2007/09/roll_reversal.html|name=Roll Reversal|org=Capital Spectator/Wealth Manager|date=August 7, 2008}}</ref>
  
  

Revision as of 16:13, 7 August 2008


The term "roll yield" refers to the return from rolling futures positions forward.[1]

If the futures curve of a contract is in contango, or upward sloping, contracts expiring farther out in time cost more and so rolling into longer-dated contracts loses money, resulting in a negative roll yield.[2]


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References

  1. Commodities - An Asset Class In Their Own Right?. Banque de France.
  2. Roll Reversal. Capital Spectator/Wealth Manager.