Roll Yield (Roll Return)

Jun 14, 2017

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in Level I Alternative Investments, Level I Derivatives, Level II Alternative Investments, Level II Derivatives, Level III Alternative Investments, Level III Asset Allocation

The idea of roll yield – or roll return, same thing – is relatively straightforward: it’s part of the increase or decrease in the value of your portfolio that arises specifically when you roll over an expiring futures or forward contract into a new contract. The other parts of that increase or decrease are the […]

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