Multidimensional Futures Rolls

December 15, 2018 - Calendar rolls are a characteristic feature of futures contracts. Because contracts expire at monthly or quarterly intervals, and because investors prefer to maintain positions in a few heavily traded maturities which may not correspond to their real investment horizon, in order to maintain their desired economic exposure they must regularly roll their positions forward from the expiring contracts into ones with further expirations.

Request the full whitepaper by filling out the form below.