What I understand is that a futures contract’s value is 0 at initiation, so consider a contango situation of crude oil: if you buy a march 30 crude oil contract today at $40/barrel, sell it tomorrow at $40/barrel and buy an April 30 crude oil contract at $50/barrel to roll it over for a month, you are not losing anything, where does the roll yield loss come from?
You’re committing to pay $10 more per barrel.
The CFA curriculum has been notoriously awful when it comes to roll return. In one year, across the three Levels, they had four distinct (i.e., incompatible) definitions of roll yield.
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