Schweser book4, page29:
Return to a commodity futures contract is calculates as:
total return = spot return + collateral return + roll return.
But in the following example (on page 30) when calculating roll return, the formula is: toll return = change in futures price - spot.
I have been thinking about this for 2 days and couldn’t come up with an answer. The book only says that “The collateral is not part of the change in the futures price”. Why is that? The “change in futures price” is not future’s “total return”?
Can somebody help?