Tue, Apr 25, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Campbell & Company deconstruct roll yield and its impact on portfolio performance

Thursday, February 27, 2014

Bailey McCann, Opalesque New York:

In a new white paper, Campbell & Company examines roll yield and addresses misconceptions regarding its nature, measurement and relevance. Roll-yield is a sometimes overlooked component of futures returns, that can have a significant impact on the gain or loss a futures investor experiences over the lifetime of a trade.

Paper authors assert that a wide variety of misconceptions about roll yield exist, including its origin, measurement and relationship to other concepts such as carry trading and trend following. "One of the most pervasive misconceptions is that roll yield represents a realized gain or loss generated on the day of the contract roll, as a long investor sells the expiring contract and buys the new active contract (or a short investor takes the opposite steps). Another is that roll yield is an abstract concept and that accounting separately for roll yield and spot market returns is a pointless pursuit. Yet another misconception is that roll yield creates arbitrage opportunities: that an investor can lock in a guaranteed profit by going long markets with positive roll yield and short markets with negative roll yield," authors write.

Taken together these misconceptions can impact the way a trade is viewed. According to the paper, to understand the real effect of roll-yield, the way it is calculated should change. Joining the front contract prices in a way that accounts for the rolls results in a price series that refle......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Hedge fund Ecofin says EDP bid for renewable energy unit 'egregiously low', Asia CIOs say "non" to Europe, Billionaire Mike Novogratz says he has 10% of his money in Bitcoin and Ether[more]

    Hedge fund Ecofin says EDP bid for renewable energy unit 'egregiously low' From Reuters.com: London hedge fund firm Ecofin said an offer from Portugal's largest company EDP to buy 22.47 percent of subsidiary EDP Renovaveis "significantly undervalues" the company, in a letter to EDPR's bo

  2. Alternative asset firm YieldStreet surpasses $100m of loans funded in less than 8 quarters[more]

    Komfie Manalo, Opalesque Asia: Alternative asset investment platform YieldStreet reported that it has surpassed $100m in loans funded in less than eight quarters from accredited investors and single family offices. YieldStreet was founded by Milind Mehere and Michael Weisz. In a

  3. Investing - Investor appetite for high-growth IPOs to be tested, Apollo boosts fund's stock allowance for 'diamonds in the rough', Hedge funds uncertain over outlook for Hargreaves Lansdown[more]

    Investor appetite for high-growth IPOs to be tested From FT.com: The US listings market is poised for a busy week with deals that will test investors' appetite for high-growth - but lossmaking - companies. Eight new listings are scheduled for this week, the most since October of 2016,

  4. Hedge funds holding Puerto Rico bonds are looking at a long battle[more]

    Komfie Manalo, Opalesque Asia: Hedge funds which bought Puerto Rico's distressed debt bonds are facing the prospect of a long road ahead to recover their investments as the Caribbean island is attempting to use a U.S. Congress-approved rule that allows it to exploit a bankruptcy-like proceedings

  5. Aris Wealth' quant indices fare well[more]

    Benedicte Gravrand, Opalesque Geneva: Last year, Geneva-based Aris Wealth Management launched indices sponsored by Societe Generale Corporate & Investment Banking. These indices replic