Futures term structure

In plain terms

Futures of different expiries trade at different prices; the shape of that curve carries information and a roll yield. This trades the curve.

How it works

Curve shape and roll yield are turned into long / short tilts across futures markets, balanced by risk.

What it’s tested against

Out-of-sample with stressed costs, separating roll yield from genuine timing.

Data

Futures curve and roll history.

Researched — term-structure signals examined across markets.