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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
Presentation :
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 |
