gammaman

It Takes Two Commodity ETFs Not to Contango

This is a good article as it discusses some of the complexity regarding backwardation and contango concepts...

The concept of backwardation and contango have been simplified in relation to something called the "term structure of the futures price curve." Keynes et al. original concept of "normal backwardation" is based on the relationship of the futures contract to the "expected future spot price." This is a much more difficult concept for most to grasp and so is ignored because it doesn't "market" well. This paper:

"Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures"

raises the spector of something called "roll yield permutations." The paper is available on SSRN's eLibaray at:

papers.ssrn.com/abstra...