B4-Pg-29-Example on top of the page Why was collateral return of $1 not considered in calculating the roll yield? I though out the answer to be = 6 - 3 - 1 = 2 What am I missing?
Read CFAI text for this that will clear your doubt. Schweser has poorly explained this one
You are right. The answer should be $2. In 2009 schwester Book 4, P.128. They shows the answer should be $2. Return on futures contract is $6, spot return is $3, collateral return is $1. Roll return = total return - spot return - collateral return =$6-$3-$1 = $2. Perhaps typo mistake on 2010 edition, because they are the same question.
Thanks for confirming B_C. I thought I was going crazy and missing a simple concept.
hey, Schweser clarify this point (Errata posted 2010-02-05). saying “future contract of $6 is not the total return but only the change in the value of the futures contract which does not include the collateral return” i don’t understand what the clarification… Schweser says the answer is $3. this means change in the futures contract=total return - collateral return ?? anyone help me!!
Char-Lee , thanks for the replay. read the thread. your conclusion is Schweser is wrong, isn’t it ? ($2 is right , $3 is wrong) Errata posted 2010-02-05 is no meaning? anyway, i check the CFAI text. thanks.