NO.PZ2023041004000104
问题如下:
NWC is considering changing its benchmark index.
Nabli investigates two indexes as a possible replacement. These indexes both use similar weighting and rebalancing schemes. Index A includes contracts of commodities typically in contango, whereas Index B includes contracts of commodities typically in backwardation. Nabli asks Yamata how the two indexes perform relative to each other in a market that is trending upward.
The best response to Nabli’s question about the relative performance of the two indexes is that Index B is most likely to exhibit returns that are:
选项:
A.lower than those of Index A. B.the same as those of Index A. C.higher than those of index A.解释:
Index B is likely to have higher performance than Index A in a market that is trending upward. Indexes that (perhaps inadvertently) contain contracts that more commonly trade in backwardation may improve forward-looking performance because this generates a positive roll return. Similarly, indexes that contain contracts that more commonly trade in contango may hurt performance for the same reason (i.e., negative roll return).Nabli asks Yamata how the two indexes perform relative to each other in a market that is trending upward。
这个market that is trending upward,是指什么market?怎么影响的roll return呢?
正常来说,long的一方,backwardation的情况下,就有正的roll return。如果市场是trending downward会怎么样呢?