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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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Type : Working paper
Date : 13/12/2014
Keywords :

Commodities