Roll return calculation, Schweser b4, p30

CFA Level III Portfolio Management
#1

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?

#2

total return of futures = spot return + collateral return + roll return.

total return of futures = collateral return + price movement of futures

Subtract 1st from 2nd

price movement of futures - spot - roll = 0

or roll = price movement of futures - spot

Collateral return is extraneous offered by the exchange and not evident in the prices except indirectly.

#3

Thanks a lot.

#4

Thanks a lot.