NO.PZ202403120100000104
问题如下：
Using the crude oil futures prices in Exhibit 1, who would most likely account for the lowest roll return until March?
选项：
A.An airline hedging fuel costs
B.The QA Energy Commodities Fund
C.A crude oil producer hedging production
解释：
A Incorrect. The airline would be long crude oil futures by hedging potential rising fuel costs. A futures curve in backwardation would allow it to purchase successive futures contracts at lower prices, increasing roll yield.
B Incorrect. The Energy Commodities Fund would be long crude oil futures by being a long-only fund. A futures curve in backwardation would allow it to purchase successive futures contracts at lower prices, increasing roll yield.
C Correct. A crude oil producer would be short futures to hedge the risk of future falling prices. For example, falling prices would decrease future sales and income. Crude oil futures are in backwardation, causing successive futures contracts to be sold at lower prices and causing roll yield to be negative.
A 错误。通过对冲潜在上升的燃料成本，航空公司将持有原油期货多头头寸。backwardation状态的期货曲线将允许其以较低价格购买后续期货合约，增加滚动收益。
B 错误。能源商品基金通过作为一个仅持多头的基金，将持有原油期货多头头寸。backwardation状态的期货曲线将允许其以较低价格购买后续期货合约，增加滚动收益。
C 正确。原油生产商会持有期货空头头寸以对冲未来价格下跌的风险。例如，价格下跌将减少未来的销售和收入。原油期货处于backwardation状态，导致后续期货合约以较低价格被卖出，并导致滚动收益为负。（short 方的roll return）
Backwardation 的roll return 不是为正的吗？能全面解析下三个选项？
