Crude Oil Futures Markets: Are the Benefits of “Roll Yield” Real?

Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of (a) scepticism on the benefits of roll yield; and (b) the dramatic drop in oil pri ...

Author(s):

Hilary Till

Research Associate, EDHEC-Risk Institute Principal, Premia Research LLC

Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of (a) scepticism on the benefits of roll yield; and (b) the dramatic drop in oil prices had led investors to question whether crude-oil-futures positions deserve a role in a diversified investment portfolio.

Type: Working paper
Date: le 23/05/2017
Research Cluster : Finance

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