Identify two strategies Delgado should use to earn a positive roll yield. Describe the specific steps needed to execute each strategy.

Rosario Delgado is an investment manager in Spain. Delgado’s client, Max Rivera, seeks assistance with his well-diversified investment portfolio denominated in US dollars.
Rivera’s reporting currency is the euro, and he is concerned about his US dollar exposure.
His portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is considering a monthly hedge using either a one-month forward contract or one-month futures contract.

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Identify two strategies Delgado should use to earn a Describe the specific steps needed to execute positive roll yield. each strategy. 1. 2.