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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Spot return, roll yield, collateral return؟

يُعرف أيضًا باسم: spot return · roll yield · collateral return

Definition 10.7 Markets III: Commodities, Energy and Crypto · الفصل 10 — Forward Curves, Storage and Convenience Yield

For a fully collateralised, rolled long futures position, the spot return is the change in the nearby futures price; the roll yield is the rest of the futures’ return, earned as each held contract converges to the nearby price (positive in backwardation, negative in contango); the collateral return is the interest earned on the cash that backs the position. Their sum is the total return.

WTI, January 1985 to April 2024: the nearby price and a long position rolled monthly over the 5th–9th trading days, both starting at 1. The gap is the cumulative roll yield. Contract identities follow the expiry rule with a weekend-only calendar, so a few roll dates may be off by a day. Data: EIA contracts 1–4.
Figure 10.3. WTI, January 1985 to April 2024: the nearby price and a long position rolled monthly over the 5th–9th trading days, both starting at 1. The gap is the cumulative roll yield. Contract identities follow the expiry rule with a weekend-only calendar, so a few roll dates may be off by a day. Data: EIA contracts 1–4.
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