NO.PZ201720190200000306
问题如下：
6. Based on Exhibit 2, the total return from the long position in natural gas futures is closest to:
选项：
A.1.46%
3.71%
4.14%
解释：
A is correct.
The total return for a fully collateralized position is the sum of the price return, the roll return, and the collateral return:
Price return = (Current price – Previous price)/Previous price = (2.99 – 2.93)/2.93 = 2.05%.
Roll return = (Near-term futures closing price – Farther-term futures closing price)/Near-term futures closing price × Percentage of position in futures contract being rolled = [(2.99 – 3.03)/2.99] × 100% = –1.34%.
Collateral return = Annual rate × Period length as a fraction of the year = 3% × 0.25 = 0.75%.
Therefore, the total return for three months = 2.05% – 1.34% + 0.75% = 1.46%.
老师好 price return = （FP 未来 - FP 初） / FP 初， FP 初 是否指 在futures里锁定的价格？ 也就是这里道德2.93 谢谢 这样理解对吗？
