标题: CFA mock AM Q25 - roll yield [打印本页] 作者: Nishant1 时间: 2013-4-1 12:58 标题: CFA mock AM Q25 - roll yield
Their explanation makes no sense to me…they say:
positive “roll yield” occurs when the futures price is above the “full carry” price, referred to as backwardation.
If futures prices are above the carry prices then aren’t you buying overpriced futures? Sounds like negative roll yield to me…
Anyway, I understand how B could be the answer here, based on producers worried about prices dropping further…however, I would think that A could also be the answer. If you didn’t have low storage costs then your futures curve would be in contango and your roll yield would be negative.
What am I missing?作者: xilinx_altera 时间: 2013-4-1 12:59
Haven’t seen an errata on this yet nor a decent explanation. I would ignore this one for now.作者: chandsingh 时间: 2013-4-1 12:59
If the market is in contango, then there is a negative roll yield.作者: strikethree 时间: 2013-4-1 12:59
Glad I saw this cuz their explanation drove me nuts.
Think they did that on purpose so they can screw people over? Plus no errata.
Totally unfair.
Thanks for bringing this up, Ceredwyn.
