为什么 roll return 的计算中不需要乘以3/12？

NO.PZ2018111302000064 问题如下 analyst wants to calculate the totreturn of a recent tra executea commoty fun The funtook a fully collateralizelong futures position in nearsoybefutures contracts the quotefutures priof 755.0 (US cents/bushel). Three months later, the entire futures position wrollewhen the near-term futures priw768.0 anthe further-term futures priw773.0. ring the three-month periobetween the time ththe initilong position wtaken anthe rolling of the contract, the collaterearneannualizerate of 0.40%. The funs three-month totreturn on the soybefutures tra is closest to: A.1.17%. B.1.47%. C.1.72%. A is correct.考点大宗商品收益计算解析Totreturn由三部分构成，现货收益，滚动收益和抵押收益，分别计算这三部分然后加和即可。现货收益=（当前价格-以前价格）/以前价格，从题目中找到对应数据现价为768，之前的价格为755，那么现货收益=（768-755）/755=1.7219%滚动收益=（近期合约价格-远期合约价格）/近期合约价格，对应题目数据，近期合约价格为768，远期合约价格为773，那么滚动收益 =（768-773）/768=-0.6510%抵押收益，合约期总共3个月，那么抵押收益为（3/12）*0.4%=0.1%总收益=现货收益+滚动收益+抵押收益 = 1.7219 - 0.6510 + 0.1=1.1709% 在3时刻以768卖掉原来755价值的合约，得到(768-755)/(755)=1.72%的prireturn然后在3时刻以卖掉768的合约，重新roll进一份773的合约（相当于低卖高买）得到(768-773)/768=-0.65%的roll return然后抵押品return=0.4%/4=0.1%totreturn = 1.72%-0.65%+0.1%=1.17%

NO.PZ2018111302000064 问题如下 analyst wants to calculate the totreturn of a recent tra executea commoty fun The funtook a fully collateralizelong futures position in nearsoybefutures contracts the quotefutures priof 755.0 (US cents/bushel). Three months later, the entire futures position wrollewhen the near-term futures priw768.0 anthe further-term futures priw773.0. ring the three-month periobetween the time ththe initilong position wtaken anthe rolling of the contract, the collaterearneannualizerate of 0.40%. The funs three-month totreturn on the soybefutures tra is closest to: A.1.17%. B.1.47%. C.1.72%. A is correct.考点大宗商品收益计算解析Totreturn由三部分构成，现货收益，滚动收益和抵押收益，分别计算这三部分然后加和即可。现货收益=（当前价格-以前价格）/以前价格，从题目中找到对应数据现价为768，之前的价格为755，那么现货收益=（768-755）/755=1.7219%滚动收益=（近期合约价格-远期合约价格）/近期合约价格，对应题目数据，近期合约价格为768，远期合约价格为773，那么滚动收益 =（768-773）/768=-0.6510%抵押收益，合约期总共3个月，那么抵押收益为（3/12）*0.4%=0.1%总收益=现货收益+滚动收益+抵押收益 = 1.7219 - 0.6510 + 0.1=1.1709% 因为考虑基数不一样（看到有其他同学问是否严谨），所以在算的时候没敢直接把百分比相加，而是先算出了三项return的金额相加后再一起除以755，其中collaterreturn的计算还是用的755*（1+0.4）^(1/4)这种方式计算的，请问我这样计算有问题吗？算出来的答案也非常接近，1.16%，所以我就选了接近了。再请问是否以后遇到这种求totreturn的只需要百分比相加即可，利率也直接用年化利率*天数/360的方式就可以？还是这题特殊？

NO.PZ2018111302000064 问题如下 analyst wants to calculate the totreturn of a recent tra executea commoty fun The funtook a fully collateralizelong futures position in nearsoybefutures contracts the quotefutures priof 755.0 (US cents/bushel). Three months later, the entire futures position wrollewhen the near-term futures priw768.0 anthe further-term futures priw773.0. ring the three-month periobetween the time ththe initilong position wtaken anthe rolling of the contract, the collaterearneannualizerate of 0.40%. The funs three-month totreturn on the soybefutures tra is closest to: A.1.17%. B.1.47%. C.1.72%. A is correct.考点大宗商品收益计算解析Totreturn由三部分构成，现货收益，滚动收益和抵押收益，分别计算这三部分然后加和即可。现货收益=（当前价格-以前价格）/以前价格，从题目中找到对应数据现价为768，之前的价格为755，那么现货收益=（768-755）/755=1.7219%滚动收益=（近期合约价格-远期合约价格）/近期合约价格，对应题目数据，近期合约价格为768，远期合约价格为773，那么滚动收益 =（768-773）/768=-0.6510%抵押收益，合约期总共3个月，那么抵押收益为（3/12）*0.4%=0.1%总收益=现货收益+滚动收益+抵押收益 = 1.7219 - 0.6510 + 0.1=1.1709% 滚动收益的计算基数是768，而期货合约收益的计算基数是初始买入价格755，抵押的收益的计算基数也是755。应该都基于755计算收益率才合适吧，基于755计算的收益率是1.13%？

NO.PZ2018111302000064 问题如下 analyst wants to calculate the totreturn of a recent tra executea commoty fun The funtook a fully collateralizelong futures position in nearsoybefutures contracts the quotefutures priof 755.0 (US cents/bushel). Three months later, the entire futures position wrollewhen the near-term futures priw768.0 anthe further-term futures priw773.0. ring the three-month periobetween the time ththe initilong position wtaken anthe rolling of the contract, the collaterearneannualizerate of 0.40%. The funs three-month totreturn on the soybefutures tra is closest to: A.1.17%. B.1.47%. C.1.72%. A is correct.考点大宗商品收益计算解析Totreturn由三部分构成，现货收益，滚动收益和抵押收益，分别计算这三部分然后加和即可。现货收益=（当前价格-以前价格）/以前价格，从题目中找到对应数据现价为768，之前的价格为755，那么现货收益=（768-755）/755=1.7219%滚动收益=（近期合约价格-远期合约价格）/近期合约价格，对应题目数据，近期合约价格为768，远期合约价格为773，那么滚动收益 =（768-773）/768=-0.6510%抵押收益，合约期总共3个月，那么抵押收益为（3/12）*0.4%=0.1%总收益=现货收益+滚动收益+抵押收益 = 1.7219 - 0.6510 + 0.1=1.1709% Prireturn=（当前价格-以前价格）/以前价格，从题目中找到对应数据现价为768，之前的价格为755，那么现货收益=（768-755）/755=1.7219%想请问一下为何current price为何是near-term futures price（768），而不是further-term futures pri( 773.0)?

NO.PZ2018111302000064问题如下 analyst wants to calculate the totreturn of a recent tra executea commoty fun The funtook a fully collateralizelong futures position in nearsoybefutures contracts the quotefutures priof 755.0 (US cents/bushel). Three months later, the entire futures position wrollewhen the near-term futures priw768.0 anthe further-term futures priw773.0. ring the three-month periobetween the time ththe initilong position wtaken anthe rolling of the contract, the collaterearneannualizerate of 0.40%. The funs three-month totreturn on the soybefutures tra is closest to: A.1.17%.B.1.47%.C.1.72%. A is correct.考点大宗商品收益计算解析Totreturn由三部分构成，现货收益，滚动收益和抵押收益，分别计算这三部分然后加和即可。现货收益=（当前价格-以前价格）/以前价格，从题目中找到对应数据现价为768，之前的价格为755，那么现货收益=（768-755）/755=1.7219%滚动收益=（近期合约价格-远期合约价格）/近期合约价格，对应题目数据，近期合约价格为768，远期合约价格为773，那么滚动收益 =（768-773）/768=-0.6510%抵押收益，合约期总共3个月，那么抵押收益为（3/12）*0.4%=0.1%总收益=现货收益+滚动收益+抵押收益 = 1.7219 - 0.6510 + 0.1=1.1709% 对于call 方来说，会收到collaterreturn；如果对于short方来说，也会收到collaterreturn的底层逻辑是什么？Ps:23年mock题里面是Short 方也收到