其实你所举的例子正是spot return的含义。 2. roll return是由于期货不像股票投资，他的每个合约都有合约的到期日，也就是说，你持有的时间是有限的，而当这 Rewriting the one-beta CAPM for net returns in terms of gross returns, gives a (conditional) liquidity CAPM for gross returns E_t[{R}^i_{t+1}]=R_0+E_t[c_{t+1}^i]+\gamma_t(\frac{cov_t({R}^i_{t+1},{R}^M_{t+1})}{var_t(\tilde{R}^M_{t+1})}+\frac{cov_t({c}^i_{t+1},{c}^M_{t+投资学3-资本资产定价模型（CAPM）
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Roll yield is the amount of return generated in the futures market after an investor rolls a short-term contract into a longer-term contract and profits from the convergence of the futures...展期收益（Roll return/yield）? 商品期货的长期投资一般通过短期合约展期的方式来实现，导致展期收益的出现，展期收益计算公式为期间内期货价格的变动减去现货价格的变动。CFA答疑精选第1期【衍生品】
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Consider a futures contract that expires at t+1, decompose the excess futures return into roll return and spot return R_{t+1}^e=\frac{F_{t+1}^{t+1}-F_{t}^{t+1}}{F_{t}^{t+1}}=\frac{S_{t+1} 在《预期收益：投资者获利指南》中，作者Antti Ilmanen认为期货收益的来源主要分为三部分，价格收益(spot return)、展期收益(roll return) 和 抵押收益(Collateral return),这种拆解期货收益的方法更多的是 【CTA思考6】期货收益来源
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首先呢，正如讲义上写的roll yield=forward premium/discount，这个是基于公式来讲的，在外汇管理中，我们一般是持有外币资产，所以做得是short forward 头 ROLL DOWN就是骑乘. 假设曲线5年在5%，4年在4%。你投资5年期债券,5%的YTM，假定曲线不动，1年后债券aging到4年，那么MTM就是4%，你的ROLL 请问如何理解债券收益分解中的ROLL DOWN？
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What Is a Roll-Down Return? Roll-down return is a concept in the world of finance, particularly in the realm of bonds and fixed-income instruments. It measures the potential return on a bond if the yield curve remains unchanged, minus any impact from accrued interest or coupon payments.. A roll-down return is often used when investors 期货收益的来源. 在《预期收益：投资者获利指南》中，作者Antti Ilmanen认为期货收益的来源主要分为三部分，价格收益 (spot return)、展期收益 (roll return) 和 抵押收益 (Collateral return),这种拆解 【CTA思考6】期货收益来源
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理解Roll yield的关键是理解roll，什么是roll呢，简单的说就是" 随时时间的推移 (roll)而自然而然产生的 "，请看下图。. 假设spot price不变情况下的期货价格变动. 我们假设从0时刻买一份价格为 FP_0 的到期日 Executive Summary • Futures and spot returns on the same underlying asset often diverge, and the magnitude of this divergence is known as the futures “roll yield.” The cumulative impact of roll yield can be quite significant, in some cases being similar in magnitude to the entire gain or loss an investor experiences over the lifetime of a trade.Deconstructing Futures Returns: The Role of Roll Yield
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The Guardian® Premium Return-Roll Guard. The Guardian® Premium Return-Roll Guard provides leading-edge and pinch-point protection. It is designed to totally cover the roll in front, back, and sides. It will also catch the return roll if it comes loose from the drop brackets. It is easy to install and still provides access for maintenanceRoll-Down Return: A roll-down return is a form of return that arises when the value of a bond converges to par as maturity is approached. The size of the roll-down return varies greatly betweenRoll-Down Return: Definition, How It Works, Example
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如果收益率曲线向下倾向，相对的长期利率5-year利率更小，相对的短期利率4.5-year利率更大，那roll wn return对应为负数。作为一个答案，C的没有阐明roll wn return的本质原因（折现率在同一条利率曲线上滑落），只是说了有可能存在的一个特例情况。这里挑几篇比较新的文献来介绍吧，都是念书时的行为金融学课程的老师精选出来的百里挑一的好文章。. Hong, Harrison, and Marcin Kacperczyk, 2009, The price of sin: The effects of social. norms on markets, Journal of Financial Economics 93, 15-36. Malmendier, Ulrike, and Geoffrey Tate, 2005, CEO金融界有哪些著名的论文？
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The term premia defined in (1), (2) and (3) can be called the “return premium”, the “forward premium” and the “yield premium” respectively. Box 1 expresses these term premia in mathematical form, with r φn, f φn and y φn denoting the return premium, the forward premium and the yield premium for maturity n, respectively. These而roll yield代表的是期货与现货之间的价格差，就是题目中问的点。 当处于contango的时候，远期期货价格大于现货价格，说明基本上没有人愿意持有现货，因此没有convenience yield， price return主要取决于大宗商品当前的供求，那么这三个里面起决定性作用的是roll yield.CFA另类精选问答分析|品职CFA错题本
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期货连续合约 (Futures Roll) 因为期货合约大多是有交割期的（也有没有期限的，比如LME三月铜等，后面解释），通常最长的合约期限也不超过一年，为了研究上的方便，很多行情报价系统都设立了“连续合 那么此时roll down return正负取决于收益率曲线形状，与溢价、折价无关。 ytm计算的roll down return是债券价格沿着价格与时间点曲线趋近于面值。 如果从这个角度考察roll down return，的确是溢价债券roll down return为负（因为价格趋向面值，未来卖出的价格肯定低于现在的价格），折价债券roll dwon return为正。关于rolldown return这块内容-有问必答-品职教育 专注CFA
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Journal of Financial Economics 12 (1983) 371-386. North-Holland ON COMPUTING MEAN RETURNS AND THE SMALL FIRM PREMIUM Richard ROLL* University of California, Los Angeles, CA 90024, USA Received January 1983, final version received June 1983 The mean return computational method has a substantial effect on I understand that carry = Coupon income cost of funds and that the forward price = Spot-carry. If a 5y bond paying a 5% coupon was priced at 110 to yield 3% with a cost of funds of 2.5%, I would say that the carry of the position is 5 110*0.025 = 225bp. This tells me that the 1y forward price must be 107.75.fixed income Carry and Rolldown of a Premium bond
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The “carry and roll-down” concept in fixed income echoes the “hold and earn” carry trade in the FX market. When assessing the expected return from holding an asset, those two gain from the term structure premium, which is an extra return over the yield earned from the bond. Leibowitz and Homer [1972] defined “rolling yield returnWe begin by examining global factor premiums from the perspective of p-hacking in a robust and rigorous way. We take as a starting point the six main factor premiums across the four major asset classes (equity indices, government bonds, commodities, and currencies), resulting in a total of 24 global return factors. 4 Fig. 1, Global factor premiums ScienceDirect
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所以A说，4.5年期债券的折现率更低，5年期债券的折现率更高，带来的价差属于roll wn return，这明显夸大了本题roll wn return的范围。因为在这道题的背景里，4.5年期利率更低有一部分是因为整条利率曲线平行下移带来的，这部分不属于Roll wn return的收 计算指数的total return意味着在计算时既要考虑了证券价格的变化 (资本利得收益)还要考虑了期间的现金流所带来的收益 (利息、股息)。. 而price return在计算时只基于证券价格的变化 (资本增值)。. 因此不难看出，在初始阶段，以股票指数为例，由于没有产生 CFA数量分析：price return和total return计算 哔哩哔哩
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That means the premium you paid is diminishing in value every day, hence a negative roll return. The difference is that bonds are negatively correlation with their yields, so as you roll down the yield curve the value of the bond increases. Futures are (obviously) positively correlated with the futures curve, so as it rolls down the value of
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