5. The purpose of this problem is to examine the effect of the roll yield on the return of the the Futures-Based
Gold ETF (DGL) for the period from 2-Jul-08 to 19-Oct-12. Use the information in case Exhibit 13.
(a) Find the gain from holding one ounce of gold from 2-Jul-08 to 19-Oct-12. What is this gain as percentage of the gold price on 2-Jul-08. Do the same calculations for the Physical-Based Gold ETF (GLD) and the Futures-Based Gold ETF (DGL)
(b) Assume that DGL follows the roll schedule in case Exhibit 12 for DBLCI-OY Gold. Exhibit 13 provides the GC futures contract prices at the roll dates of DBLCI-OY Gold. Specifically, DGL would start on 2-Jul-08 by taking a long position in the October 2008 futures contract at $951.4. Then the first roll date would be 3-Sep-08, at which it would short the October 2008 futures contract at $804.3 and take a long position in the December 2008 futures contract at $808.2. The strategy will continue for each of the roll dates and contracts given in Exhibit 13. Find the gain for each roll date, and the total gain for this strategy. What is the total gain as percentage of the October 2008 gold futures price on 2-Jul-08?