Sentences with phrase «positive roll yield»
Even if we don't see outsized price increases in commodities, from a total return perspective, commodity returns will benefit from a change to positive roll yields based on the reshaping and structuring of the fundamental market in commodities.
http://www.etf.com/ Not exact matches
Going forward, roll yields will actually result in positive returns, whereas they've been a drag on returns in recent years.
Sometimes, roll yield can be positive.
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.
An overweight to commodities in backwardation (or in less - extreme contango) in order to capture a relatively high and attractive roll yield, and an overweight to commodities with higher recent performance in order to benefit from short - term persistence in commodity price movements (i.e., positive momentum), can have meaningfully positive impacts on portfolio performance.3, 4 We compare the performance of four portfolios — high versus low roll yield and high versus low momentum — from January 1999 to June 2016.