Question
GSCI: Goldman Sachs Commodity Index a. For GSCI, the total return = T-bill yield + Spot return+ Roll yield = 2.59% + 7.67%+ 3.97% =
GSCI: Goldman Sachs Commodity Index
a. For GSCI, the total return = T-bill yield + Spot return+ Roll yield = 2.59% + 7.67%+ 3.97% = 14.24% Do you think the total return was too high? Explain.
b. What was the source of high Roll yield for GSCI? Do you think the way the GSCI index was constructed had something to do with this high Roll yield? Explain.
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Understanding Futures Markets
Authors: Robert Kolb, James Overdahl
6th Edition
1405134038, 9781405134033
