标题: Roll yield, backwardation [打印本页] 作者: luckygiftvn 时间: 2011-7-13 15:20 标题: Roll yield, backwardation
'positive roll yld occurs when futures prices are above the full carry price, referred to as backwardation, which may occur when prices are low and volatile.'
Since backwardation occurs when future prices are lower than spot can someone explain how the roll yld and full carry price cause the value of future to exceed spot?
Thanks作者: lucasg85 时间: 2011-7-13 15:20
You would hope that's enough. But that stmt is from a CFA question.作者: tianxin 时间: 2011-7-13 15:20
You buy the future at 100, and if you just wait and nothing changes it'll increase in price under backwardation.作者: Sportsman 时间: 2011-7-13 15:20
jgrandits Wrote:
-------------------------------------------------------
> You would hope that's enough. But that stmt is
> from a CFA question.
I spotted that myself also. To be honest I'm confident that something like that will not appear on the exam itself. By understanding the concept I know that backwardation is a futures less than spot, and has positive roll yield. So if a question comes up about this area I'm not going to second guess myself.
