Sentences with phrase «roll yield»

One risk with this type of ETF involves something called roll yield.

Also, let her have the toy she wanted to show her that rolling yields rewards.

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

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

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.

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.

The measurement of the historical backwardation (and contango, which is the converse of backwardation) shown in the chart below calculates the annual roll yield by taking the annual return of the S&P GSCI Excess Return (which measures the price return plus the roll return) less the annual returns of the S&P GSCI Spot Return (which measures the price return only).

OLO's optimized tenor selection uses a rules - based strategy for choosing contracts over the next 13 months that will give the best possible implied roll yield.

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

Certain ETFs are constructed specifically to avoid the negative impact of contango (or to take advantage of the positive impact of backwardation) by tracking indexes that select futures contracts with the most favorable roll yield.

Three - Cheese Zucchini Stuffed Lasagna Rolls Yields: 8 servings Good for: 1 to 3 months Looking for a new Meatless Monday recipe?

Paleo Macadamia Nut Pesto Rolls Yield: 1 serving You will need: food processor, cutting board, and knife 1 1/2 cups fresh basil (add... [Read more...]

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.

We have already discussed how roll yield can negatively affect the overall return of a commodity holding The impact of contango or backwardation can be relatively large compared to the overall return.

Backwardation encourages traders to buy oil futures because it gives them a chance to play the so - called roll yield, said Rats.

If a commodity's forward price curve is downward sloping (in backwardation), then the roll process involves rolling into (buying) a futures contract that is trading cheaper than the current futures contract, hence a positive roll yield.

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.

He posits that contracts in backwardation (contango) present a positive (negative) roll yield and should generally be overweighted (underweighted) in a carry portfolio.

Next is the roll cost, or the roll yield.

The roll yield would be positive because you're constantly buying at a lower price and selling at a higher price.

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

The impact on the ETF's returns from this continuous process of selling expiring contracts and buying longer - dated contracts is called roll yield.

Sometimes, roll yield can be positive.

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.

Can increases or decreases in production be seen in the roll yield?

The roll yield appeared more sensitive to declines in production, resulting in a negative yield almost 60 % of the time, while an increase in production only resulted in a positive roll yield 43 % of the time, implying that shortages or undersupply in the market was more likely to drive up prices than oversupply to weigh down on futures prices.

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 roll yield or roll return, as measured by the excess return of the index minus the spot return, is the difference in the price of the expiring contract and the next eligible contract.

But regardless, I suspect Record now has better prospects & a greater opportunity set ahead of it for the next few years, and also offers a potentially compelling long - term bet on (or hedge against) volatility (with none of the horrific negative roll yield, or time / margin constraints, associated with most volatility bets... take a peek at VXX).

Known as «contango» and «backwardation,» respectively, these conditions determine the roll yield or returns from selling expiring contracts and buying later - dated contracts.