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Chuck Rock · 2023年11月15日

老师 您好 这里我想请问下 roll return 是负的 是根据公式来计算 near term - far term

NO.PZ2023041004000091

问题如下:

Brown shows Musicale the total return of a recent trade executed by the Apex Fund. Brown explains that the Apex Fund took a fully collateralized long futures position in nearby soybean futures contracts at the quoted futures price of 865.0 (US cents/bushel). Three months later, the entire futures position was rolled when the near-term futures price was 877.0 and the farther-term futures price was 883.0. During the three-month period between the time that the initial long position was taken and the rolling of the contract, the collateral earned an annualized rate of 0.60%.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:

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%.

老师 您好 这里我想请问下 roll return 是负的 是根据公式来计算 near term - far term / near term (877 - 883) / 883 = - 0.68%

但是背后的逻辑是 先long了 一个合约 在 863的时候 roll over时候 877 卖了 先把之前的合约平掉 再开一张 877 价格的合约 然后升到了 883 那不是应该是 far term- near term / near term 等于 (883 - 877) / 883 = + 0.68% (正的收益吗)

2 个答案

pzqa35 · 2023年11月16日

嗨,从没放弃的小努力你好:


不客气,加油呀

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努力的时光都是限量版,加油!

pzqa35 · 2023年11月15日

嗨,爱思考的PZer你好:


这个roll的过程就是我先卖出去near-term的合约,再买入far-term的合约,也就是我收到了877,但是支付了883.那收益就是(收入-支出)/near-term=(877-883)/883=-0.68%.

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Chuck Rock · 2023年11月16日

谢谢老师

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