Stats › Currencies and commodities › Natural gas carry
Natural gas has the most negative carry of any major futures contract
Average annualised carry across twenty-four commodities, February 1980 to September 2012, built from the two contracts closest to expiry and interpolated to a synthetic one-month future. This is the slope of the curve, the per-annum headwind a long roller faces, not a realised return.
Over thirty-two years the natural gas curve sloped against a long holder by 26.6% a year, roughly twice the next worst contract. The same paper shows commodity carry does not predict its own realisation in the time series.
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