CFAI Vol. 5 Page 124 Question # 31- It is about roll return, collateral return, etc. I cannot make head or tail out of it. Can anybody help?
What is the problem here? Its just using the basic commodity returns formula: Roll return + Collateral return + Sport return Roll return = Change in futures - Change in spot Collateral return = given Spot return = given Plug and chug They are asking for september: Roll return = (40.76 - 39.07) - 0.90 = .79 Spot return = .9 Collateral = .15 Return = .79 + .9 + .15 = 1.84
Thanks for pointing it out to me. I did not look at the table properly.