192****4472
2023-05-16 07:04老師,這里為什么是除以877,而不是883呢?
所屬:CFA Level II > Alternative Investments 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
Johnny助教
2023-05-16 23:07
該回答已被題主采納
同學(xué)你好,這里計算的是roll return。
Roll return=[(Near-term futures contract closing price ? Farther-term futures contract closing price)/Near-term futures contract closing price] × Percentage of the position in the futures contract being rolled.
本題中,near term future price是877,那根據(jù)公式,roll return的分母就是877
