Glossary entry (derived from question below)
English term or phrase:
roll returns
Arabic translation:
عوائد التدوير/عوائد التداول
Added to glossary by
Shazly
Oct 21, 2008 11:27
15 yrs ago
2 viewers *
English term
roll returns
English to Arabic
Bus/Financial
Petroleum Eng/Sci
financial crisis
Facing low yields on US Treasury Bills around 1.8% annualised and 3- month roll returns on WTI futures averaging 4% this year
Proposed translations
(Arabic)
4 +2 | عوائد التدوير/عوائد التداول | Shazly |
4 | ترنح/هبوط العائدات | Moodi |
4 | إعادة استثمار العوائد | Mohsin Alabdali |
Change log
Oct 26, 2008 14:10: Shazly Created KOG entry
Proposed translations
+2
41 mins
Selected
عوائد التدوير/عوائد التداول
"Roll Return" is the difference between the current spot (what you pay if you "consume" the commodity today) and the futures contract price. It is also the return a futures contract holder would earn if the spot price stays constant until the expiration of the futures contract - in which case the price of the futures contract would gradually converge to the spot price - "Safe haven"
Roll return - Represents the cost or benefit of rolling the futures positions forward each month. Whether this is positive or negative for an individual commodity depends on whether the price for the contract being rolled into is lower (backwardation) or higher than the contract being rolled out of. For example, if the GSCI rolls from January crude oil at $15.00 to February crude oil at $14.75, that represents a roll return of +1.67% ($0.25/$15.00) for crude oil for that month . The annual roll return of the GSCI-TR is the production weighted sum of the roll returns of the 26 underlying commodity futures for each month each commodity rolls. It should be noted that roll returns may be offset by spot returns, and thus not completely realized. In the above example, if February crude oil remained at $14.75, the +1.67% roll return would be offset by a -1.67% spot return, for a zero net excess return (spot return + roll return). If however, February crude oil rose in price to $15.00, then the spot return would be zero for that month, the roll return +1.67%, and the excess return +1.67%.
Roll return - Represents the cost or benefit of rolling the futures positions forward each month. Whether this is positive or negative for an individual commodity depends on whether the price for the contract being rolled into is lower (backwardation) or higher than the contract being rolled out of. For example, if the GSCI rolls from January crude oil at $15.00 to February crude oil at $14.75, that represents a roll return of +1.67% ($0.25/$15.00) for crude oil for that month . The annual roll return of the GSCI-TR is the production weighted sum of the roll returns of the 26 underlying commodity futures for each month each commodity rolls. It should be noted that roll returns may be offset by spot returns, and thus not completely realized. In the above example, if February crude oil remained at $14.75, the +1.67% roll return would be offset by a -1.67% spot return, for a zero net excess return (spot return + roll return). If however, February crude oil rose in price to $15.00, then the spot return would be zero for that month, the roll return +1.67%, and the excess return +1.67%.
Note from asker:
THANK YOU SHAZLY |
3 KudoZ points awarded for this answer.
9 mins
ترنح/هبوط العائدات
.
Note from asker:
Thank you Moodi |
8 hrs
إعادة استثمار العوائد
.
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