Q1:Which of the following statement are correct regarding the roll yield? 1)Roll yield is the yield that a futures investor captures when their futures co ntract converges to the spot price. 2)In a backwardation future market the price rolls up to the spot price, so the roll yield is positive 3) In contango the future price rolls down to the spot price, so the roll yield is negative. 4) The spot price may stay constant so an investor will not earn any returns. A 1 only B 1 and 2 only C 1, 2 and 3 only D All of the above Q2: The current spot price of a commodity is $60 and the 1-year futures price is $62. The interest rate on the collateral is 2% per annum. On the maturity date, the prevailing spot price of the commodity is $70. What is the total return of the commodity contract? A 10% B 13.33% C 15.33% D 17.33% 这两题，我不会…. 也找不到答案 希望有高手帮忙回答解析及试算 ---- Sent from BePTT on my iPhone 13 Pro -- ＱＱ软糖签：朋友之乐，贵在踏实的信赖 --

※ 发信站: 批踢踢实业坊(ptt.cc), 来自: 220.135.66.135 (台湾) ※ 文章网址: https://webptt.com/cn.aspx?n=bbs/ask/M.1702131216.A.1C4.html