Roll Yield Strategy

[jones247]

Does anyone regularly practice the capture of roll yield on futures/commodities? Perhaps this thread can be used to "brain storm" and expand upon strategies that effiectively capture roll yield with minimum risk to an adverse price movement.

Any thoughts or ideas on capturing roll yield with minimum/small relative risk to the potential reward of the roll yield?

thanks,

Walt

 

[pistolpt]

Yea. I try it w fix futures, but there is massive danger if ANYthing happens while you are hoping for it to roll down.

 

[jones247]

Only if there was a legitimate way to hedge without losing the benefit of the roll yied

Quote from pistolpt:

Yea. I try it w fix futures, but there is massive danger if ANYthing happens while you are hoping for it to roll down.

 

[Gambit]

http://www.spvixviews.com/2012/04/15/reaping-roll-yield-from-a-quasi-market-neutral-strategy/