Roll Yield
Also called: roll return, rolling futures
Roll yield is the gain or loss from replacing an expiring futures contract with a later-dated one. In contango the next contract costs more, so rolling bleeds value; in backwardation it costs less and rolling adds return. This is why commodity ETFs can fall for years while the spot price is flat — the fund is paying to roll every month, and that cost compounds far more than most holders expect.
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