Calculating total return on commodity vs roll return

When to and when not to use collateral yield?

Total return = Roll + Spot + Collateral. Always include.

i’m not sure , if interest rate doesnt change over time , is there colleteral yield?

thinking if you long future , interest rate have already been included into future price that you have to pay (Ft=S0e^rt)

so i think only when interest ratechange, we add colleteral yield to total return

someone please correct me ,if it’s wrong (not sure)

collateral yield is the margin you put up… assumed to be 100% of amount.

This is the key point. The idea of total return including collateral return is based on the assumption that you post 100% collateral and it earning the risk free rate.

Otherwise if you just long a commodities futures, your total return is just roll return + spot return which essentially is just the change in futures price.

Can someone link to the cash and carry thread?

this ties into it