Roll yield

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]

References

  1. Commodities - An Asset Class In Their Own Right?. Banque de France.
  2. Roll Reversal. Capital Spectator/Wealth Manager.
Last modified on 15 August 2011, at 15:23