Roll yield

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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]


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