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

See Also

The fight against climate change central to the EDHEC-Coursera specialisation
News
- 21-01-2022
EDHEC Business School launched the “Climate Change and Sustainable Investing”...
Finance Master’s programs: EDHEC becomes a CAIA association academic partner
News
- 20-01-2022
EDHEC Master’s in Finance programs have become a CAIA Academic Partner for two of its...
News
- 19-01-2022
You might have heard his voice as host of the Future Law Podcast or read one of his...
How to make LEGACY A PATH TO THE FUTURE: A CONVERSATION WITH DELPHINE ARNAULT, EXECUTIVE VICE PRESIDENT OF LOUIS VUITTON
News
- 18-01-2022
We discussed with Delphine Arnault, Executive Vice President of Louis Vuitton and EDHEC...