CFA Practice Question
Currently, commodity markets are in contango. This means the roll yield on commodity indices is ______.
A. positive
B. negative
C. zero
Explanation: An investor would need to buy the commodity index above the current spot level when it's time to roll the contract.
User Contributed Comments 3
| User | Comment |
|---|---|
| nowornever | this is from the investor point of view |
| cong | Remember the shapes of the futures curves for both contango and backwardation |
| CodyR | Doesn't the roll yield depends on if you're short or long? |