CFA Practice Question

There are 139 practice questions for this study session.

CFA Practice Question

When a commodity market is in contango, the roll yield is most likely ______.

A. zero
B. positive
C. negative
Correct Answer: C

The roll yield when the market is in contango is negative.

User Contributed Comments 1

User Comment
khalifa92 spot price < future price = upward slope & contango (negative roll)
spot price > duture price = downward slope & backwardation (positive roll)

forward = spot(1+r) + storage cost - convenience yield
the difference between spot and forward is roll yield
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