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LOS b: Describe the sources of return and risk for a commodity investment and the effect on a portfolio of adding a long-term commodity class.
Q1. If a commodities market has a downward-sloping term structure of futures prices, this would be associated with:
A) normal backwardation and a negative roll return.
B) normal backwardation and a positive roll return.
C) contango and a positive roll return.
Q2. The component of the return on a futures position that results from interest earned on U.S. Treasury bills deposited to establish the position is called the:
A) roll yield.
B) collateral yield.
C) current yield.
Q3. Which of the following will result from the term structure of futures prices for a particular commodity being in contango?
A) Negative collateral yield.
B) Positive current yield.
C) Negative roll yield.
Q4. Which of the following best describes why adding a commodities index position to a portfolio of stocks and bonds may be beneficial? Commodities index positions:
A) serve as a hedge against inflation.
B) are positively correlated with stock and bond prices.
C) benefit from commodity markets oscillating between contango and backwardation.
Q5. Which of the following market conditions most accurately describes the conditions of a particular commodity market for the roll yield to be positive?
A) Contango.
B) Futures prices are lower than spot prices.
C) Market is dominated by long hedgers.
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发表于 2009-3-2 09:18
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