TY - JOUR
T1 - The “roll yield” myth
AU - Bessembinder, Hendrik
N1 - Publisher Copyright:
© 2018 CFA Institute. All rights reserved.
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
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U2 - 10.2469/faj.v74.n2.5
DO - 10.2469/faj.v74.n2.5
M3 - Article
AN - SCOPUS:85047510118
SN - 0015-198X
VL - 74
SP - 41
EP - 53
JO - Financial Analysts Journal
JF - Financial Analysts Journal
IS - 2
ER -