Tue, Jul 28, 2015
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. Opalesque Exclusive: Michael E. Lewitt: Greece, Puerto Rico, China stock market problems are symptoms of global underlying disease[more]

    Benedicte Gravrand, Opalesque Geneva: Michael E. Lewitt, manager of the Third Friday Total Return Fund, L.P., author and market commentator, says in a Q2 letter

  2. Investing - Hedge funds, seeing opportunity, invest in struggling hotels in Puerto Rico[more]

    From NYTimes.com: Puerto Rico’s tourism industry has fallen victim to the island’s struggling economy, hit by one misfortune after another. In March, the San Juan Beach Hotel filed for bankruptcy. This week, the Condado Plaza Hilton was forced to close its casino. But nearly two thousand miles away,

  3. Investing - Hedge fund billionaires bet on London as revival gathers pace[more]

    From Bloomberg.com: London’s fund industry is bouncing back, and U.S. billionaires Steven A. Cohen and Ken Griffin are grabbing a piece of the action. Griffin’s Citadel and Millennium Management, a hedge fund run by Israel Englander, have bulked up in London, where asset growth is outpacing the U.S.

  4. Opalesque Exclusive: London quant shop launches new improved strategy[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Simon Wajcenberg, CEO of K1T Capital Ltd, a systematic quant based hedge fund asset manager based in London

  5. Bridgewater turns bearish on China[more]

    Komfie Manalo, Opalesque Asia: The world’s biggest hedge fund Bridgewater Associates and one of the most vocal of China’s potential is now turning its back against the world’s second largest economy as it joins a growing list of high-profile investors who are challenging China’s potentials.

 

banner