Why B is not correct? 谢谢
• roll returns of both indexes reflect the respective storage costs associated with each class of commodity,
• roll return of the agricultural subindex is negative when the agricultural futures market has been in contango, and
• roll return of the energy subindex is positive when energy futures prices have been lower than spot prices."
53. Which of Davidson's comments regarding roll return is most likely accurate?
A. His statement regarding storage costs
B. His statement regarding the agricultural subindex
C. His statement regarding the energy subindex
Answer = C
When the futures prices are lower (higher) than spot prices, the futures market is said to be in backwardation (contango), which results in a positive (negative) roll return. There are storage costs associated with both agriculture and energy, so a difference in storage costs would not explain the difference in the roll return.
CFA Level II
"A Primer on Commodity Investing," Frank J. Fabozzi, Roland Füss, and Dieter G. Kaiser
Section: Prices at the Commodity Futures Exchanges
