- CFA Exams
- CFA Exam: Level I 2021
- Study Session 17. Alternative Investments
- Reading 50. Introduction to Alternative Investments
- Subject 5. Commodities and other altenative investments
CFA Practice Question
When a commodity market is in contango, the roll yield is most likely ______.
B. positive
C. negative
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 |