The “roll yield” myth

Hendrik Bessembinder

Research output: Contribution to journal › Article

Abstract

Futures investors are frequently said to periodically pay or receive the difference in futures prices across contracts with different delivery dates. But this “roll yield” is mythical: No such cash flow occurs—at the time of roll trades or on any other date. However, although the term is a misnomer, the roll yield does contain useful information. It explains when futures gains exceed or fall short of spot-price changes, and for storable assets, it provides information regarding benefits to the marginal holder of a spot position. This article clarifies the actual role of the roll yield.

Original languageEnglish (US)
Pages (from-to)41-53
Number of pages13
JournalFinancial Analysts Journal
Volume74
Issue number2
StatePublished - Jan 1 2018

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Cash flow
Investors
Price changes
Spot price
Assets
Futures prices

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

The “roll yield” myth. / Bessembinder, Hendrik.

In: Financial Analysts Journal, Vol. 74, No. 2, 01.01.2018, p. 41-53.

Research output: Contribution to journal › Article

Bessembinder, H 2018, 'The “roll yield” myth', Financial Analysts Journal, vol. 74, no. 2, pp. 41-53.
Bessembinder H. The “roll yield” myth. Financial Analysts Journal. 2018 Jan 1;74(2):41-53.
Bessembinder, Hendrik. / The “roll yield” myth. In: Financial Analysts Journal. 2018 ; Vol. 74, No. 2. pp. 41-53.
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