|
- UID
- 223190
- 帖子
- 171
- 主题
- 121
- 注册时间
- 2011-7-11
- 最后登录
- 2013-8-20
|
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? |
|
发表于 2013-4-1 12:58
| 