medium · CFA Level I alts
Quill & Ash Partners is reviewing a commodity futures curve that is in 'contango'. In this environment, an investor who is long a futures contract will most likely experience a:
- Negative roll yield as the futures price converges toward a lower spot price
- Positive roll yield due to the high convenience yield of the underlying commodity
- Positive roll yield as the spot price rises to meet the futures price
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