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

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%.