NO.PZ2018111302000064
问题如下：
An analyst wants to calculate the total return of a recent trade executed by a commodity fund. The fund took a fully collateralized long futures position in nearby soybean futures contracts at the quoted futures price of 755.0 (US cents/bushel). Three months later, the entire futures position was rolled when the near-term futures price was 768.0 and the further-term futures price was 773.0. 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 0.40%. The fund’s three-month total return on the soybean futures trade is closest to:
选项：
A.1.17%.
B.1.47%.
C.1.72%.
解释：
A is correct.
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price return
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%
total return = 1.72%-0.65%+0.1%=1.17%
