Crude Oil Futures Markets: Are the Benefits of 'Roll Yield' Real?
10 Pages Posted: 22 Aug 2016
Date Written: December 16, 2014
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