Have trend followers profited from roll yield?
Despite not being a realisable return in a portfolio, roll offsets are a reasonable and simple proxy for measuring the roll yield over the long term, across many sectors, without knowledge of the spot prices or other datasets.
We consider a medium-speed trend-following strategy on 20 futures, spanning fixed income, equity indices, commodities, and currencies sectors [1]. We equally weight the sectors in terms of risk, and find a gross Sharpe ratio (excluding any fees or transaction costs) pf 1.2, for the 30-year period from January 1984 to December 2013, and an annual return of 13.5%. The breakdown of the results are shown in Table 1.
Table 1: Breakdown of sector and roll yield returns