The increase or decrease in price that occurs when a security such as an Exchange Traded Fund is rolled to a new futures contract, instead of trading in the futures contract or just letting it expire. An investor will try to get the highest roll yield possible when switching to a new futures contract.
Related information about roll yield:
- Roll yield - Wikipedia, the free encyclopedia
The roll yield is the yield that a futures investor captures when their futures contract converges to the spot price; in a backwardated futures market the price rolls ...
- Roll Yield Definition | Investopedia
... and profiting from the convergence toward a higher spot price. Profiting from roll yield is a common goal for many strategies used by traders in the futures market.
- Understanding Contango, Backwardation, Roll Yield - YouTube
Sep 26, 2011 ... Understand key investment concepts that impact Van Eck CM Commodity Index Fund (CMCAX). Contango, Backwardation and Roll Yield are ...
- VXX Negative Roll Yield Is About Steepen - Seeking Alpha
Nov 20, 2012 ... For most of the month of November, the negative roll yield on the VXX was fairly low, frequently in the 4-5% range. The reason for this primarily ...
- Roll Yield by FuturesTradingpedia.com
Learn what Roll Yield mean and how it will affect your futures trading.
- Roll Yield Definition from Financial Times Lexicon
roll yield. This describes the cost of shifting between two futures contracts, usually with reference to commodity futures. An investor who has bought a front-month ...
- What is roll yield in futures investing
A moment's consideration should show that a positive roll yield will occur in a backwardated curve, while a negative roll yield will occur in a contango curve.
- VXX: Negative Roll Yield - TheStreet
Mar 8, 2012 ... VXX isn't broken, despite what you may have heard on Twitter or on the message boards Jared Woodard of Condor Options and Options Profits ...