When rolling becomes an uphill battle: Index Funds, contango and total returns in commodity markets
|Sep 27th, 2010 | Filed under: Commodities, Hedge Fund Industry Trends, Today's Post | By: Guest||
By: Neil Kotecha, BNY Mellon & AllAboutAlpha.com Editorial Board
A recent topic in many financial publications has been the persistence of adverse market conditions facing commodity investors. Specifically, investors’ returns differ significantly from commodity price returns. The articles in these publications tend to illustrate the drag on total returns when unfavorable conditions result in negative roll yields. The importance of roll yields was highlighted in this AllAboutAlpha.com post by Keith Black from June 2008. Additionally, a more recent AAA post touched upon the impact investors may have on the market index.
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