“Total return = Roll return + Spot return + Collateral return = (Change in futures price – Change in spot price) + Change in spot price + Collateral return = Change in futures price + Collateral return = (40.76 – 39.07 – 0.90) + 0.90 + 0.15 = (40.76 – 39.07) + 0.15 = 1.84.” (Institute 131)
So is it backwardation when the change in future prices higher than the change in spot prices? makes no sense to me… can someone enlighten me…