Roll return formula

CFA Level II Alternative Investments
#1

Is this the correct formula for roll return? Roll ret = (Ft,T - Ft-1,T)/ Ft-1,T. Could anyone please give a numerical example Thanks in advance.

#2

No. The roll return = (Ft-1 - Ft)/Ft-1 = (S - Ft)/S

As you roll, you simply close out a future contract to open another one, what you close is the inflow of cash, what you open is the outflow of cash. The roll return has different signs whether you’re in contango or backwardation too.

#3

But the above formula is there in the CFA institute material. The one you are referring to is thr in schweser

#4

Anyone?

#5

S2000 magician sir, could you please help me with this?