Key Takeaways
To sum up, we believe roll yield alone provides an incomplete view of commodity carry that is not directly comparable to the carry of other asset classes. Investors who focus solely on roll yield without considering the short-term rate earned on the collateral may be systematically misestimating carry and the value of commodity investments. In times when rates are rising, like today, this adjustment becomes even more important and may result in carry numbers that are both more realistic and more compelling, especially considering commodities’ strong diversification and inflation-hedging properties.
Nicholas J. Johnson is a managing director and portfolio manager focusing on commodities at PIMCO. Klaus Thuerbach is a senior vice president and product strategist focusing on liquid real assets at PIMCO.