According to the alternative investment content,
return regarding future consits of Spot Return, Collateral return, Roll return.
in this context, is ‘roll return’ related to the rolling-over?
I thought roll return comes from selling expensive futures which have short time to expiration and buying cheap futures which have long time to expiration.
CFAI Vol 5 Reading 25 Exhibit 16 (p.49) explains roll return = change in price of futures - change in price of spot and say nothing about selling one futurues and buying another.
So… still confusing with the definition of the word ‘roll’?