Download This PaperCrude Oil Futures Markets: Are the Benefits of 'Roll Yield' Real?
10 Pages Posted: 22 Aug 2016
Date Written: December 16, 2014
Abstract
Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of:
(a) skepticism on the benefits of roll yield; and
(b) the dramatic drop in oil prices has led investors to question whether crude-oil-futures positions deserve a role in a diversified investment portfolio.
In this article, we show that in the main, the significance of roll yield has only been apparent at very long holding periods.
Keywords: roll yield, crude oil futures
JEL Classification: G11, Q41
Suggested Citation: Suggested Citation
Till, Hilary, Crude Oil Futures Markets: Are the Benefits of 'Roll Yield' Real? (December 16, 2014). Available at SSRN: https://ssrn.com/abstract=2827754 or http://dx.doi.org/10.2139/ssrn.2827754
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