Research and publications
Crude Oil Futures Markets: Are the Benefits of "Roll Yield" Real?
This paper examines whether roll yield is 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.
Author(s) :
Hilary Till
Summary :
This paper examines whether roll yield is 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.
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Register| Type : | Working paper |
|---|---|
| Date : | 13/12/2014 |
| Keywords : |
Commodities |
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