Burginvest

Roll Yield

ロール・イールド（限月乗り換え損益） Forward Curve ✓ Verified Citations Market Practitioner Term
<Definition> In futures markets, this refers to the structural gain or loss that arises from the shape of the futures curve (backwardation or contango) when a held futures position is rolled from the near-month (front) contract into a deferred-month contract. It is a concept that has been organized in the course of analyzing commodity futures investment returns, against the background of the mechanism by which futures prices are determined by the relationship between the cost of holding the physical commodity and the benefit gained from holding it.[1][2]
日本語
＜定義＞先物市場において、保有する先物ポジションを期近（当月）から期先（翌月以降）へ乗り換える際に、先物カーブの形状（バックワーデーションまたはコンタンゴ）によって生じる構造的な損益のこと。これは、現物を保有するための費用と、現物を保有することによって得られる便益との関係から先物価格が決まる仕組みを背景として、商品先物の投資リターンを分析する中で整理されてきた概念である。[1][2]

<Mechanism>

Rolling under backwardationOn a downward-sloping futures curve, a deferred contract is bought at price X. All else equal, as time passes and expiry approaches, its price moves up along the curve to Y. Selling at Y and buying the deferred contract again at X (the roll) makes the amount by which Y exceeds X a positive roll yield. Price Expiry Time to expiry → Futures curve Buy Sell Time passes Roll X Y Positive roll yield Buy the deferred contract at X, sell at Y near expiry (Y > X: gain)
Rolling under contangoOn an upward-sloping futures curve, a deferred contract is bought at price X. All else equal, as time passes and expiry approaches, its price moves down along the curve to Y. Selling at Y and buying the deferred contract again at X (the roll) makes the amount by which Y falls short of X a negative roll yield. Price Expiry Time to expiry → Futures curve Buy Sell Time passes Roll X Y Negative roll yield Buy the deferred contract at X, sell at Y near expiry (Y < X: loss)

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