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

10 Pages Posted: 22 Aug 2016

See all articles by Hilary Till

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

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

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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