Carry, convenience yield and curve shape
The commodity forward is F = S·e^((r+u−q−y)T): funding r, storage u, income q (lendable metals) and convenience yield y — the hidden value of physical availability for consumers. When y exceeds r+u the forward dips below spot: backwardation, the signature of current scarcity. Full warehouses and easy supply give contango. For a rolling long, curve shape is the roll yield: backwardation pays a small gain each roll, contango charges one. Long-run commodity index returns are spot moves minus roll costs — not spot moves alone.
Four commodity groups and the emerging classes
Energy is the most volatile and geopolitically exposed group; industrial metals (copper, nickel) track the industrial cycle and the energy transition; agriculture is seasonal and climate-driven with local basis risk; precious metals carry no cash flow and trade on safe-haven demand and real rates. Beyond standard commodities, each emerging class has its own logic: infrastructure offers inflation-linked contractual returns with low liquidity; private debt offers contractual spreads with soft marks; distressed debt is event-driven with recovery modeling; timberland and farmland offer long-horizon biological yield; carbon is policy-driven; digital assets carry the highest volatility with custody risk. None promise returns — and the platform's 1-to-5 comparison labels are educational tags, not statistical measures.
Worked example: the cost of rolling in contango
- Oil: spot 80, 6-month forward 82.4 (contango ≈ 6% annualized from funding + storage).
- A long held to expiry with flat spot converges to 80 → loses 2.4 per 80 (~3% over six months).
- Roll yield = (80 − 82.4)/(80 × 0.5) = −6% annualized — the negative commodity yield, even with a flat spot.
- In backwardation (say F = 77.8) the same computation yields about +5.5% annualized to the long.
نتیجه: In commodities, patience itself has a return: its direction is set by the curve shape. Commodity analysis without the futures curve is incomplete.