Rolling Methodology
Energy contracts are rolled monthly, all other commodity futures contracts are rolled annually. This rolling procedure was adopted given the historical tendency for energy curves to be in backwardation and metal and agricultural forward curves to be in contango. Futures contracts rolling takes place between the second and sixth business day of the month. The DBLCI is quoted in both total returns and excess returns terms in US dollars as well as a variety of major currencies.
Read more about this topic: Deutsche Bank Liquid Commodity Index
Famous quotes containing the words rolling and/or methodology:
“The Concord had rarely been a river, or rivus, but barely fluvius, or between fluvius and lacus. This Merrimack was neither rivus nor fluvius nor lacus, but rather amnis here, a gently swelling and stately rolling flood approaching the sea. We could even sympathize with its buoyant tied, going to seek its fortune in the ocean, and anticipating the time when “being received within the plain of its freer water,” it should “beat the shore for banks.””
—Henry David Thoreau (1817–1862)
“One might get the impression that I recommend a new methodology which replaces induction by counterinduction and uses a multiplicity of theories, metaphysical views, fairy tales, instead of the customary pair theory/observation. This impression would certainly be mistaken. My intention is not to replace one set of general rules by another such set: my intention is rather to convince the reader that all methodologies, even the most obvious ones, have their limits.”
—Paul Feyerabend (1924–1994)