Alternative Investments

CFA Level III Portfolio Management
#1

Hi all,

On page 118 of CFA text question 31, the 0.9 is added back why is this so?

Thanks

#2

Roll return= Change in Futures Price - Change in Spot = (40.76 - 39.07) - 0.9 = 0.73

Spot return = 0.90 (change in spot)

Collateral Return = 0.15

total return = sum of above.

#3

Thank you CPK