Jiaxiang YAN
2023-05-16 05:02最后一題算roll return。 答案最后一步我算出來是正的啊 為什么是負(fù)的
所屬:CFA Level II > Alternative Investments 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
Johnny助教
2023-05-16 21:05
該回答已被題主采納
同學(xué)你好
Roll return=[(Near-term futures contract closing price ? Farther-term futures contract closing price)/Near-term futures contract closing price] × Percentage of the position in the futures contract being rolled.
由于near term price小于farther term price,這就會(huì)導(dǎo)致roll return為負(fù)
