Sentences with phrase «futures roll yield»

In the April 2013 version of his paper entitled «Easy Volatility Investing» (the National Association of Active Investment Managers» 2013 Wagner Award runner - up), Tony Cooper explores the rewards and risks of five volatility trading strategies including simple buy - and - hold, price momentum, futures roll yield capture, volatility risk premium capture and dynamic hedging.

They also propose a trading strategy designed to capture VIX futures roll yield that pairs VXX with SPDR S&P 500 Trust ETF (SPY) as a hedge and XIV with ProShares Short S&P 500 ETF (SH) as a hedge.

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

They also propose a trading strategy designed to capture VIX futures roll yield that pairs VXX with SPDR S&P 500 Trust ETF (SPY) as a hedge and XIV with ProShares Short S&P 500 ETF (SH) as a hedge.

Not exact matches

The roll yield is the profit traders can earn when they roll their investment in crude oil futures, which expire every month, into contracts that expire at a later date.

After what I've learned from past mistakes, the only time I'd cash out my 401 (k) in the future would be to roll it into a high - yield, long - term savings account still reserved for my retirement.

Does a carry trade derived from roll yields of futures / forward contracts work within asset classes (undiversified) and across asset classes (iversified)?

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.

Though the problem with getting inflation protection with crude oil futures is that market participants need to pay storage costs, reflected through the roll yield when there is excess inventory.

Given equities are better than futures for inflation protection, after the roll yield is included, and that small - caps and mid-caps have done best with accelerating growth, the falling dollar and rising inflation, perhaps the strategy might be to underweight large caps.

The Dow Jones RAFI Commodity Index is a broad commodity index based on Research Affiliates» commodity strategy that utilizes price momentum and roll yield to provide (1) dynamic commodity weighting exposure and (2) intelligent futures contract selection.

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

The Optimum Yield ™ version of the index attempts to minimize the negative effects of contango and maximize the positive effects of backwardation by applying flexible roll rules to pick a new futures contract when a contract expires.

Exhibits 1a and 1b show the monthly roll cost of the S&P 500 VIX Short - Term Futures Index in the months when high - yield and emerging market bonds posted losses between February 2006 and April 2007.

The negative roll yield where futures prices are in contango may be a reason to valid reason to avoid commodities; however, commodities should be viewed in the context of a wider portfolio, and not solely on their own merits.

US TNote Future — March 2010 Comment: Front month TNote futures are struggling with the pivotal 122.00 area, and benchmark yields at 3.25 %, open interest declining as contracts are not rolled over.

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.

Exhibits 1a and 1b also show that larger loss in high - yield and emerging market bonds was usually associated with higher roll yield from VIX futures backwardation.

This is further illustrated in Exhibits 2a and 2b; in the months that high - yield and emerging market bonds posted a loss of more than 3 %, VIX futures ten ded to rise, sometimes even more than the VIX spot, due to the backwardation in the VIX futures curve (or, in other worlds, the yield from the roll of a long VIX futures position).

However, if the commodity's forward price curve is upward sloping (in contango), then the roll process would involve rolling into a futures contract that is trading at a higher price than the current futures contract, which results in a negative roll yield.

Though static allocation of VIX futures can reduce portfolio volatility and offer downside protection compared with the broad - based, unhedged S&P U.S. High Yield Corporate Bond Index, it can drag down portfolio performance significantly, due to the high cost of rolling VIX futures.

They then describe a new approach to constructing a long - only index that identifies attractive futures contracts and allocates more to commodities that are experiencing higher roll yields and price momentum.