Tue, Oct 25, 2016
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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From Thisismoney.co.uk: The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From CNBC.com: Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Marketwatch.com: Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. David Einhorn speaks on passive investing, Mylan, his cheapest stock, the Fed[more]

    From Forbes.com: Greenlight Capital hedge fund manager David Einhorn (Trades, Portfolio) joined nine other famed investors on Tuesday to talk about stocks at the annual Great Investors’ Best Ideas Investment Symposium in Dallas. Presenters at the annual conference typically pitch one or severa