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Basic Question 9 of 13
When the market is in backwardation, the roll yield will be ______ for a long investor.
B. positive
C. zero
A. negative
B. positive
C. zero
User Contributed Comments 1
| User | Comment |
|---|---|
| vatsal92 | Roll yield is the gains/losses that would be realized if spot price remains unchanged over the life of the contract. |
Your review questions and global ranking system were so helpful.
Lina
Learning Outcome Statements
compare theories of commodity futures returns;
describe, calculate, and interpret the components of total return for a fully collateralized commodity futures contract;
contrast roll return in markets in contango and markets in backwardation;
CFA® 2025 Level II Curriculum, Volume 5, Module 33.