Roll Yield
Roll Yield refers to the gain or loss resulting from rolling a futures position from one contract to the next.
Its sign and magnitude depend on whether the market is in contango or backwardation.
Understanding Roll Yield
Analyzing roll yield helps to:
• Explain performance differences over time
• Interpret structural return components
• Assess long-term futures exposure
Roll yield in practice
Even stable prices can produce gains or losses through roll effects.
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