Roll Yield
Roll yield is the return realized when a futures position is rolled forward from the near-term contract to the next-month contract, caused by the price difference between the adjacent contracts as reflected in the shape of the futures curve (contango or backwardation).
Example: A commodity index that maintains continuous exposure to front-month futures rolls from the May to the June contract; if May is priced higher than June (backwardation), the roll yields a positive contribution to performance, whereas if May is priced lower than June (contango), the roll yields a negative contribution.
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