NO.PZ201720190200000107
问题如下：
7.The Apex Fund’s three-month total return on the soybean futures trade is closest to:
选项：
A.
0.85%.
B.
1.30%.
C.
2.22%.
解释：
A is correct.
The total return on the trade represents the sum of three components: price return, roll return, and collateral return.
Price return = (Current price - Previous price)/Previous price = (877.0 - 865.0)/865.0 = 1.387%.
Roll return = [(Near-term futures contract closing price - Farther-term futures contract closing price)/Near-term futures contract closing price] x Percentage of the position in the futures contract being rolled.
Because the entire position is being rolled, the percentage of the position in the futures contract being rolled is equal to 100%. So:
Roll return = [(877.0 - 883.0)/877.0] x 100% = -0.684%.
Collateral return = [3 months/12 months] x 0.60% = 0.15%.
Total return = 1.387% - 0.684% + 0.15% = 0.853%.
考点：大宗商品收益计算
解析：Total return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877，之前的价格为865，那么现货收益=（877-865）/865=1.387%
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877，远期合约价格为883，那么滚动收益 =（877-883）/877=-0.684%
抵押收益，合约期总共3个月，那么抵押收益为（3/12）*0.6%=0.15%
总收益=现货收益+滚动收益+抵押收益 = 1.387% - 0.684% + 0.15%=0.853%
为什么roll return 分母用near term 87 而不是fartherterm 883？
我知道公式是这么写的要用near term，但是没有理解到这个使用的含义，因为我觉得farther term才是买入的成本。
