commodities

Commodity ETF performance diverges from spot prices due to roll yield. In a contango market, rolling futures contracts generates a negative roll yield, dragging total returns below spot price movements.

Calculate roll yield by comparing futures prices across contract expirations. This skill computes roll yield by analyzing the spread between near and far month contracts, quantifying returns from rolling positions along the futures curve.

Contango occurs when futures prices exceed the spot price, creating negative roll yield. Backwardation exists when futures trade below spot, generating positive roll yield for investors holding long positions through contract rolls.

Decompose total commodity returns by isolating spot price changes, roll yield from contract expiration transitions, and collateral yield from cash invested. This skill calculates each component to reveal performance drivers beyond spot prices.

This skill uses numpy to analyze commodity futures curves, supporting calculations for contango, backwardation, and roll yield. It processes futures prices and days between expirations to evaluate market expectations.

Commodity futures serve as an inflation hedge when prices rise due to supply constraints or monetary expansion. Analyzing futures curve dynamics helps identify favorable entry points and expected roll yield impacts on hedge returns.