Roll Yield and Roll Return

[olivia_x]

I know this sounds silly but up to the last moment of the exam, I still get confused with the two “roll yield” and “roll return”.
Could someone please help me to differentiate/memory them better for the exam?
(i can almost smell that they will be on the exam and I will be…)
Much appreciated!

 

[olivia_x]

Can someone please advise me?
Thanks!

 

[Gersonides]

They are the same thing. Like functional duration and multifuinctional duration. I think

 

[hlmasterchief]

Gersonides wrote:
They are the same thing. Like functional duration and multifuinctional duration. I think

+1

 

[olivia_x]

Thanks guys, can you please be more specific and explain this to me? I read what was written in Scheweser under alternative investment and currency trading but still not sure i get it well
It calculates the change of future price minus the change of spot price?

 

[Mosstastic]

Yep, that’s your roll return.
Roll Return = (Change in Futures Price - Change in Spot Price)