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%
老师好 这里的roll return 的period 是3个月,所以乘以3/12. 如果roll return 的period 是5 天的话, 是否要乘以 5/360? 还是5/365? 谢谢。