On page 51 of V5 regarding commodity index futures return components, it clearly states that the total return has three components: Spot return, collateral return, and roll return (chg if futures px - change in spot px). In question 31 at the end of chapter questions, why isnt the answer C? The collateral return is $0.15 The roll return is (40.76-39.07)-0.90=0.79 The spot return is 0.90 Adding them up, you get $1.84. The answer states that the return is the collateral return plus the roll return. I hate futures! Thanks for any insight…
Hey check the CFA errata the answer is $1.84
Thank you!!! Embarrased to say how much time I spent re reading that section. Shouldn’t miss it on the exam I guess…