Sentences with phrase «futures roll return»

«Identifying VXX / XIV Tendencies» finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

Not exact matches

The plan was to roll out ThirdLove's product line in the spring of 2014 with seven distinct styles, and then use the data collected — including sales, returns, and feedback — to fine - tune the bras» designs and future orders.

They calculate returns for precious metals based on a continually rolling position in nearest month futures.

The steeper the contango, the worse the relative return on the rolling futures contracts compared to the spot price of the commodity.

Tenants were recently notified that their apartments have been returned to the rent regulation rolls, detailing the lowered rent amounts and future rent protections tenants will soon enjoy.

Rolling this out on a much larger scale, as is being considered with the return to grammar schools, means that we have young people who have had decisions made on their future attainment before they even have a chance to attain.

For example, while managed futures as an asset class have generally underperformed stock and bond markets in their current bull market, if one compares the rolling 12 month returns of various asset classes (bonds, hedge funds and managed futures) against the S&P 500 from 1994 to 2014, managed futures as an asset class rose when the S&P 500 declined.

The DBIQ Optimum Yield Diversified Commodity Index Excess Return employs a rule based approach when it rolls from one futures contract to another for each commodity in the index.

The following chart shows rolling return correlation of the AQR Managed Futures Strategy Fund (AQMIX) with the Vanguard Total Stock Market ETF (VTI) and the Vanguard Total Bond Market ETF (BND):

Is the VIX futures roll yield (roll return) exploitable via exchange - traded products (ETPs) designed to track direct, levered or inverse VIX futures indexes?

Secondly, and this is the big issue, depending on how the underlying ETF rolls its futures contract, backwardation or contango can hurt returns over the long term.

Roll yield, a source of profits for trend followers, is the return captured when a futures contract converges to the spot price.

These riskier returns may be an issue if you may need to access your investments in the nearer future, or if you simply won't be able to stomach the roller - coaster ride of the stock market.

Since DGAZ tracks an excess return version of the S&P GSCI Natural Gas Index, returns will reflect the changes in the price of natural gas and returns from rolling futures contracts, but not any income from collateral.

With their retirement savings already badly depleted by the rocky, erratic performance of stocks on Wall Street, these returning students opted to go into debt, essentially rolling the dice for a better future.

The «excess return» name describes the version of the indices that measures the change in the spot price of the futures contract plus the return from rolling the expiring futures contract into a new one.

When high - yield bonds were down, the correlation between their monthly return and the monthly roll cost of VIX futures was 75 %, indicating that the VIX futures curve was more likely to be in backwardation.

When emerging market bonds were down, the correlation between their monthly return and the monthly roll cost of VIX futures was 56 %, also an indicator of backwardation in the VIX futures curve.

Research Affiliates explains in plain language the dynamics of roll returns when the commodity futures curve slopes upward (contango) and downward (backwardation).

Horizons HXX seeks to replicate, to the extent possible, the performance of the EURO STOXX 50 ® Futures Roll Index (Total Return), net of expenses.

The Horizons EAFE Futures Roll Index (Total Return) is designed to measure the performance of large - and mid-cap securities across 21 developed markets including Europe, Australasia and the Far East, excluding the U.S. and Canada.

Horizons HXDM seeks to replicate, to the extent possible, the performance of the Horizons EAFE Futures Roll Index (Total Return), net of expenses.

You could manually trigger the conversion in beta but Apple now recommends you roll back to HFS + until APFS support returns in a future update.