The Contango

Hilary Till, Principal Premia Capital Management, LLC

Hilary Till, Principal Premia Capital Management, LLC

Continuing with Hilary Till’s study, the next interesting find is the roll yield embedded in the term structure of futures contracts. In her own words:

In the past, even if spot commodity prices declined, there was an additional way that a commodity investor could have a positive statistical expectation of profit, and that was through the “roll yield” embedded in certain commodity futures contracts.
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