Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Entries Tagged as 'yield curve'

Roll Yield and Commodity Yield Curve

July 19th, 2010 · 3 Comments · Data, Futures

We have seen previously that backwardation and/or contango can induce a fairly large drift between the performance of an instrument’s spot market and its corresponding futures market. This phenomenon can be described as roll yield of futures trading and I suggested it was one of the four components in Trend Following returns. As per that [...]

[Read more →]

Tags: ·