Positive/negative roll yield
You are a US based investor that owns Euro stocks.
You hedge the Euro stocks by selling euro forward.
The Euro stocks increased in value by 10%. But the exchange rates remain flat when you enter a new forward for a higher nominal value (because you have more stock to hedge)
Does this count as negative roll yield?
Study together. Pass together.
Join the world's largest online community of CFA, CAIA and FRM candidates.