Questions tagged [roll-adjustment]
The roll-adjustment tag has no usage guidance.
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ETF Negative Roll Yield
I have a quick question about the ETF Roll Yield. As we all know commodity ETF’s have struggled with contango (spot price is below futures prices on the term structure). Look at an ETF like USO which ...
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Extracting continuous futures prices on different dates with the ratio adjustment
I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings.
For instance, to extract the first/forward generic ...
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