Futures Roll Yield Calculator
Contango silently eats futures returns — UNG lost ~26%/year to it. Calculate the annualized roll yield of any futures curve before you buy.
Futures Curve Input
Front-month price
Next expiry price
12 = monthly rolls
Roll Yield Analysis
Curve State
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Roll Yield (p.a.)
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Annual Drag
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Spread per Roll
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$10k After 1 Year
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$10k After 3 Years
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Roll yield compounds: even a “small” 2% monthly contango becomes a ~21% annual headwind. This is why commodity ETFs chronically underperform spot prices.
Frequently Asked Questions
What is contango vs backwardation?
Contango: far contracts cost MORE than near (normal for most commodities) — rolling bleeds money. Backwardation: far costs LESS — rolling earns a yield.
Why did UNG lose 26%/year?
US Natural Gas ETF must roll futures monthly. Persistent contango meant each roll bought high and sold low — a structural ~26% annual drag regardless of gas prices.
How do I avoid roll drag?
Trade spot/CFDs instead of rolling futures, pick backwardated markets, or use ETFs that optimize roll timing. Sometimes the directional view still justifies the cost.
Disclaimer: Simplified model assuming constant curve shape. Real curves fluctuate — this illustrates structural drag, not a forecast. Futures involve substantial risk.