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

Till, Hilary

doi:10.2139/ssrn.2827754

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

10 Pages Posted: 22 Aug 2016

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

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