according to 2010 CFAI, the rolling yield is currently negative because of the booming commodity market. the session is reprinted from the text dated 2006. according to Schweser, it is currently positive for the opposite reason. it is 2009 edition. what is your take?
my take is not to worry about it, they arent going to ask a question based on current market conditions
Backwardation = positive roll yield Contango = negative roll yield That is all.
Commodities have been in contango lately for the most part. So the statement is indeed correct that the roll yield is negative…