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 […]
Entries Tagged as 'yield curve'
Roll Yield and Commodity Yield Curve
July 19th, 2010 · 3 Comments · Data, Futures
Tags: roll yield·yield curve