单选题

Which of the following is least likely to be directly reflected in the returns on a commodity index?

A、 Roll yield
B、 Changes in the spot prices of underlying commodities
C、 Changes in the futures prices of commodities in the index

【正确答案】 B

【答案解析】

B is correct. Commodity index returns reflect the changes in future prices and the roll yield. Changes in the underlying commodity spot prices are not reflected in a commodity index.