Commodity me and hold the contango

摘要

One of che drivers of long-only commodity indexes was che return these vehicles earned from normal backwardation - further out futures contracts trade at a discount to the near-term contract. Conversely, when markets move into contango - further out contracts trade at a premium to the near month - it serves as a drag on returns as the indexes roll.As long-only commodity investments grew, indexers became concerned over the effect of contango on performance, especially in crude oil, which receives the largest allocation in these indexes.