The Schweser says,
“The collateral yield is not part of the change in futures price and is not included in the calculation for the roll return”
However, Curriculum book reading 31 Q4-A says collateral yield also has to be subtracted from the total retun to get roll yield.
My understanding is,
Roll return = change in FP - change in S
Total commodity futures return = spot return + collateral return + roll return
Then, change in FP is different from total commodity return? Hmm… still confused…