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Basic Question 4 of 7
When a commodity market is in contango, the roll yield is most likely ______.
B. positive
C. negative
A. zero
B. positive
C. 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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Colin Sampaleanu
Learning Outcome Statements
describe features of commodities and their investment characteristics
analyze sources of risk, return, and diversification among natural resource investments
CFA® 2025 Level I Curriculum, Volume 5, Module 5.