汪同学2018-10-07 21:08:21

Consider three potential statements about Metallgesellschaft (MG): I.MG employed a stack-and-roll hedge because liquidity was highest for short-dated oil futures contracts. II.MG employed a stack-and-roll hedge, and a stack hedge has greater basis risk than a strip hedge. III.The roll return in MG’s stack-and-roll hedge was profitable under oil backwardation but losing under oil contango. 老师可以解释下stack-and-roll这个策略是怎样在反向市场中盈利的吗？谢谢