If it’s worth a few I’ll take it!
mans Wrote: ------------------------------------------------------- > Roll Yield is (Change in Futures - Change in > Spot.) So if Change is in Spot is high, unlikely > that Roll Yield will be positive. Unless Future > price changes has reflected in all these. I do the same thing with you!
I had everything going up. Spot prices went up, RFR went up, and due to backwardation the roll yield goes up.
roll yield = percent change in FP - percent change in spot / FPt-1. Giving the information, the FP went down because the convenience yield increased, and further the spot rate went up. Therefore the roll yield DECREASED based on what happened from the information given in the case. in the future yes, all else equal, the roll yield might possibly increase, but nothing in the case would indicate that because you dont know what else might happen in the future. the collateral yield increased…so maybe its inconclusive now that i think about it, since the collateral yield would increase the FP!
spot - positive (supply is tighten) collateral - positive (RFR is higher) roll - positive (lease rate is higher, future price with longer-term contract down, backwardation)
florinpop Wrote: ------------------------------------------------------- > i had positive for all Same here
ng30 Wrote: ------------------------------------------------------- > florinpop Wrote: > -------------------------------------------------- > ----- > > i had positive for all > > Same here Ditto.
positive for all. although was arguing with a guy on roll yield of course.
bosjcm Wrote: ------------------------------------------------------- > Increase in convenience yield lowers the future > price causing backwardation. This is a positive > roll yield. > > Increase in collateral yields means broker will > pay a higher rate on the margin collateral so this > is positive too. I agree with this. All of them will be positive because of the reasons said. Roll return will also be positive, as future prices were more causing backwardation and collateral yield will be more because of increase in interest rate.
sterling76 Wrote: ------------------------------------------------------- > ng30 Wrote: > -------------------------------------------------- > ----- > > florinpop Wrote: > > > -------------------------------------------------- > > > ----- > > > i had positive for all > > > > Same here > > Ditto. Ditto for me 
I put roll yield return increases. roll yield’s definition: assume spot price remains constant, your return of buying futures at a discount and let it converge to spot at maturity. If convenience yield increases, and if you are holding the futures already, your roll yield will not be affected. Even though future price will drop for a while, but it must still converge to the the assumed-fixed spot price. So the final yield will stay unchanged. If you do not hold the futures, the roll yield available now is higher than before, since futures is relatively cheaper that spot, and if you long it and let it converge to the assumed-fixed spot price, the return is greater than before.
Jscott24 Wrote: ------------------------------------------------------- > florinpop Wrote: > -------------------------------------------------- > ----- > > i had positive for all > > > same Me2 i had postive effect for all 3 !
Jscott24 Wrote: ------------------------------------------------------- > i put positive for roll, assuming he wasnt holidng > on to the future > > increasing convenience yield would cause steeper > backwardation leading to higher roll return i applied the same logic