Sentences with phrase «negative roll yield»

The implied negative roll yield is totally devastating... as the 99.9 % decline in VXX will attest!

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.

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.

The index intends to produce income and reduce volatility as well as negative roll yield from contango.

Not exact matches

On the other hand, the roll yield could be negative.

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.

A positive roll cost indicates cost while a negative roll cost indicates yield.

I can't afford to be wrong on timing & end up exposed to volatility decay, and / or a horrendous negative roll - yield.