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Questions tagged [roll-adjustment]

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True or false: roll-down return is negative when a bond is trading at a premium

These three sources all say that the bond roll-down effect is negative if the bond is trading at a premium: https://www.investopedia.com/terms/r/rolldownreturn.asp https://corporatefinanceinstitute....
B R O's user avatar
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3 votes
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futures roll - how is it applied to intraday data, e.g. minute level?

I have read many different approaches in rolling and adjusting futures contract to build a continuous time series. However, all of the examples I have seen are on daily data. While that is relatively ...
tinyneko's user avatar
3 votes
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Is there really a negative roll yield for futures in contango?

I am trying to wrap my head around how ETFs that track futures work (whether its USO tracking WTI futures or VXX tracking VIX futures). I have read online about how for normal contango environments, ...
qwer's user avatar
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1 vote
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Modelling roll-over and roll yield in a forward strategy

This is a post which serves as a follow-up question to Nature of short VIX strategies. I am trying to understand where the change in value in a synthetic strategy constructed from futures comes from: ...
Daneel Olivaw's user avatar
1 vote
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For futures contracts, do we need to do price adjustment during live testing?

I am trying to do pair trading on a pair of future contracts, e.g. CME gold and silver. During the training of my trading model, I do forward adjustment on the pair of future contracts. Let the ...
Michael's user avatar
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Disalignment between global standard deviation and mean of rolling standard deviation

Ciao, I am working on proprerties of time series. I was trying to deduce an estimate of standard deviation of a process from the series of rolling standard deviation but I've got some issues when I ...
clarkmaio's user avatar
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