KEVO
2023-11-18 02:24roll return
老師 教材上是這樣寫的“Historically, the roll return has been relatively modest compared with price return but can be meaningful in any single period.”又有這樣寫的 “Roll return has a relatively small impact on overall returns on commodity futures over the short term but can have a meaningful impact over longer perio
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個回答
Johnny助教
2023-11-18 14:05
該回答已被題主采納
同學你好，CFA教材也剛剛對這個結(jié)論已經(jīng)進行勘誤了，所以目前CFA教材給出的結(jié)論是，roll return在任何單期對total return都有重要影響，但是多期的影響就比較modest了，而且總體的影響是不如price return的。教材更新后的英語原文如下：
In conclusion, roll return can have an important impact on any single period return but overall has been relatively modest compared with price return.
The roll return typically can have an important contribution to total return in any single period but is relatively modest over multiple periods
記這兩句話就可以了
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