Hank Smith is the portfolio manager of U.S.-based PM Hedge Fund (PM), which focuses on
precious metals, fixed income, and derivatives. Smith has a strategy of rolling forward a long
position in short-dated platinum futures traded on NYMEX. Smith’s expectations are as follows:
• Electricity supply disruptions in South Africa, the world’s dominant platinum
producer, will cause platinum supply to fall and spot prices to rise.
• Interest rates will rise.
• The convenience yield on platinum will increase.
Smith observes that his expectations are not yet reflected in platinum futures prices.
A. Determine, given that Smith’s market expectations are correct, whether an increase, a
decrease, or no change in each of the following return components should be expected:
i. spot return (price return)
ii. collateral return (collateral yield)
iii. roll return (roll yield)
Justify each response with one reason.
第三问：根据cost-of-carry model，利率上升的时候，futures终值应该增加才对，为什么答案说，利率上升的时候roll return会下降呢？
