Roll yield
TradingDefinition
In commodity and futures markets, the gain or loss from rolling expiring contracts into new ones. Positive when futures curve is in backwardation (front contracts more expensive); negative in contango.
Persistent contango drag killed long-only commodity ETFs (DBC, USO) for decades. Why VIX futures ETFs (VXX) are perennial losers: VIX curve is in contango ~80% of the time, costing ~1% per month on the roll.
Persistent contango drag killed long-only commodity ETFs (DBC, USO) for decades. Why VIX futures ETFs (VXX) are perennial losers: VIX curve is in contango ~80% of the time, costing ~1% per month on the roll.