Roll Yield

Definition

The return from a futures price converging towards the spot price of the underlying asset as the contract nears expiry. Whether the roll yield is positive or negative depends on whether the futures contract is in contango or backwardation.

Approach

We design intelligent investment systems that evolve as financial markets change through time. Our decisions are driven by the empirical analysis of data, rather than instinct or intuition.

Strategies

Winton’s systematic strategies are all underpinned by the belief that markets, rather than being efficient, exhibit hard-to-detect yet identifiable patterns.

Research

Winton’s considerable investment in scientific research has produced a wide range of new innovations ranging from new investment strategies to enhanced research methodology.