For Question 8Aiii, the answer states that the increase in convenience yield has the effect of increasing the roll return. Looking at thismathemetically makes sense: F = Se^(rfr + cost - conv yield)T, so as conv yield goes up, the exponent goes down, and F goes down, making F < S, and causing backwardation, thereby increasing roll return.

However, if you look at this intuitively I think you get a different result. Roll return is defined (Schweser Book 4 Page 29) as the change in futures price not explained by change in spot price (F-S). So if convenience yield goes up and forces F down, then F is a smaller number, making F-S a smaller number, and thereby decreasing the roll return.

Am I thinking of this the wrong way?