Sandrine Graffe is the portfolio manager of a successful collateralized commodities futures fund in France. In a discussion with one of her newly hired associates, Graffe makes the following statements about collateralized futures:
Statement 1: A collateralized futures position refers to investing in short-term futures contracts with an equal investment in a risk-free asset, such as a Treasury bill. The futures must be continuously reinvested to match the maturity of the risk-free asset.
Statement 2: In a collateralized investment, investors realize return through the return on the risk-free investment and the gain or loss of the futures positions over time.
Statement 3: Fortunately, the increasing number of pension and hedge funds taking speculative long positions in commodity futures contribute to increasing roll yields and increasing gains on the continuously reinvested futures positions.
The least accurate statement made by Graffe is:
Statement 1 and 2 correctly describe a collateralized futures position and how investors realize return on the position, respectively.
The increasing number of speculative institutional investors increase the demand and price of commodity futures, thereby decreasing roll yields and the possible return realized by these investors. Statement 3, therefore, is incorrect. | 
发表于 2010-4-20 13:56
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