Traders' Roundtable

Thanks Old European for your answers.
If I understand you correctly, you are talking about taking fully collateralized long positions in commodity futures.
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In fact the so-called roll yield is a very significant positive contributor to the overall return (besides the T-bill yield and the ...

Hello everyone,

I'm new to this forum and in fact I'm writing a thesis about the optimization of asset allocation using fully collateralized commodity futures. I'm trying to understand as well as possible where returns of futures contracts come from.

As far as rolling is concerned I believe it ...