Question on return calculation from Alternative Investments page 642-643 - commodity index roll
I am reviewing the Commodity Index calculation on Page 642-643 of the CAIA Level II Alternative Investments text.
On Day 3, when the index rolls to cheaper November and March contracts, shouldn’t the index make a profit of $140 when it sells the October / December contracts and buys the November / March contracts? Shouldn’t that either be shown as cash or used to buy additional futures contracts? So the index should have more contracts in Day 3.
What am I missing?