Statistik › Valutor och råvaror › 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.
Endast för medlemmar
Resten av den här sidan är för medlemmar
Below this point there are 5 sections, 1 table and 2 named sources, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.
Du kan fortsätta bläddra i all statistik i biblioteket gratis. Introduktionen och sammanfattningen är alltid öppna.