hard · FRM Part 1 Financial Markets and Products
A commodity is currently in backwardation. A long futures investor rolling their position each month should expect which of the following outcomes regarding the roll yield?
- A roll yield of zero, as spot and futures converge.
- A positive roll yield that contributes to total return.
- A roll yield equal to the convenience yield plus storage costs.
- A negative roll yield that acts as a drag on returns.
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