- Roll Yield
- The amount of return generated in a backwardated futures market that is achieved by rolling a short-term contract into a longer-term contract and profiting from the convergence toward a higher spot price. Profiting from roll yield is a common goal for many strategies used by traders in the futures market.
Backwardation occurs when a futures contract will trade at a higher price as it approaches expiration compared to when the contract is farther away from expiration. Rolling into less expensive futures contracts allows the trader to consistently profit from the rise in a futures' price as it nears expiration.
The biggest risk to this strategy is that the market will shift to contango (opposite as backwardation). This type of changing market has led to major losses by various hedge funds in the past and is the reason why it should only be attempted by experienced traders.
Investment dictionary. Academic. 2012.
Look at other dictionaries:
Roll yield — The roll yield is the yield that a futures investor captures when their futures contract converges (or rolls up) to the spot price in a backwardated futures market. The spot price can stay constant, but the investor will still earn returns from… … Wikipedia
Roll Along Iowa — is one of three fight songs currently used by the University of Iowa Hawkeye Marching Band along with On Iowa and the Iowa Fight Song. The lyrics were written by John Woodman in 1954.Lyrics:Roll along Iowa, Roll down the field,:On to… … Wikipedia
Yield spread premium — The yield spread premium (YSP) is the cash rebate paid to a mortgage broker based on selling an interest rate above the wholesale par rate that the borrower qualifies for. For example, If a mortgage broker offers a borrower a loan of $100,000 at… … Wikipedia
DBLCI Optimum Yield (OY) Index — In May 2006, Deutsche Bank launched a new set of commodity index products called the Deutsche Bank Liquid Commodities Indices Optimum Yield, or DBLCI OY. The DBLCI OY indices are available for 24 commodities drawn from the energy, precious metals … Wikipedia
harder yield — A lower yield in the context of construction of buildings. The capital value will be a higher multiple of the rent roll, so harder yields should mean increased development profit. Practical Law Dictionary. Glossary of UK, US and international… … Law dictionary
Contango — The graph depicts how the price of a single forward contract will behave through time in relation to the expected future price at any point time. A contract in contango will decrease in value until it equals the spot price of the underlying at… … Wikipedia
Commodity price index — A commodity price index is a fixed weight index or (weighted) average of selected commodity prices, which may be based on spot or futures prices. It is designed to be representative of the broad commodity asset class or a specific subset of… … Wikipedia
photography, technology of — Introduction equipment, techniques, and processes used in the production of photographs. The most widely used photographic process is the black and white negative–positive system (Figure 1 >). In the camera the lens projects an image of… … Universalium
steel — steellike, adj. /steel/, n. 1. any of various modified forms of iron, artificially produced, having a carbon content less than that of pig iron and more than that of wrought iron, and having qualities of hardness, elasticity, and strength varying … Universalium
rock — rock1 rockless, adj. rocklike, adj. /rok/, n. 1. a large mass of stone forming a hill, cliff, promontory, or the like. 2. Geol. a. mineral matter of variable composition, consolidated or unconsolidated, assembled in masses or considerable… … Universalium