gammaman

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    • Sat Jan 26th 20:16 PM | Rating: 0 0
      Commented on:
      Oil Contango: Roll Yield Rewards
      Gorton and Rouwenhorst's paper uses an equation which results in a leveraged data set (ie, leverage performance). Further, their equation for calculating roll returns is impossible to recreate in the real world. Even Till admits as much. Erb and Harvey's analysis is better. Empirical studies are inconsistent and do not agree there is a risk premia. Dusak concluded there was zero systematic risk. The paradox is that for every buyer of a futures contract there is a seller--a zero sum game. Roll return concept is flawed because it is based on a current convention using term structure of futures price curve. Keynes' definition, on the other hand, related backwardation to the expected future spot price. If you mix the two, you get something call "roll yield permutations." See ssrn.com/abstract=1029... for investigation of commodityasset pricing models and why they're inherently flawed.
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    • Sun Jan 6th 01:53 AM | Rating: 0 0
      Commented on:
      Commodities ETF Returns: It's All About the 'Roll Yield'
      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...
      View article »
    • Sun Jan 6th 01:52 AM | Rating: 0 0
      Commented on:
      Look Before You Leap Into New "Smart Indexes"
      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...
      View article »
    • Sun Jan 6th 01:51 AM | Rating: 0 0
      Commented on:
      A Look at Backwardation and Contago in Commodity ETFs
      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...
      View article »
    • Sun Jan 6th 01:48 AM | Rating: 0 0
      Commented on:
      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...
      View article »
    • Sun Jan 6th 01:46 AM | Rating: 0 0
      Commented on:
      How Will Contango or Backwardation Affect United States Oil Fund?
      Enter your comment hereThe 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...
      View article »
    • Sun Jan 6th 01:45 AM | Rating: 0 0
      Commented on:
      JP Morgan and BNP Paribas' Commodity Indexes Battle Contango
      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...
      View article »
    • Sun Jan 6th 01:43 AM | Rating: 0 0
      Commented on:
      JP Morgan and BNP Paribas' Commodity Indexes: Smart Weapons for the Contango War
      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...
      View article »
    • Sun Jan 6th 01:31 AM | Rating: 0 0
      Commented on:
      A Look At The Next Generation of Commodity Indexes
      I saw the following document in SSRN's eLibrary and thought it might interest you. The abstract and full-text document of:

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

      can be found here:

      papers.ssrn.com/abstra...


      View article »
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