问题如下:
6. 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.
the same as those of Index A.
higher than those of index A.
解释:
C is correct.
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).
请问为什么在 backwardation 的结构下,long会带来正的roll yield,short则会带来负的roll yield,可以举个例子么?另外为什么我们可以从market that is trending upward 这个条件给得出投资者会操作的方向是long呢?谢谢