Correct answer: B. The roll return (roll yield) is profitable during an inverted (backwardation) futures market; i.e., the futures are rolled into higher prices as the futures price increases while maturity shortens.

Why B is true:

• In backwardation, futures prices rise as maturity shortens.
• A long futures position benefits when the contract is rolled from a lower-priced longer maturity into a higher-priced shorter maturity contract.
• This creates a positive roll yield for the long position.

Why the others are false:

• A is false: futures curves can alternate between contango and backwardation across maturities or over time.
• C is false: a falling futures price does not necessarily mean backwardation; the market can still be in contango if the curve shape remains upward sloping.
• D is false: gold is not guaranteed to always be in contango; convenience yield, lease rates, and supply/demand factors can produce backwardation.