What does the rolling rate of return mean in futures? Can you answer with a numerical example?
As the name implies, it is the output produced by the action of rolling. The futures price on the expiration date of the futures contract is equal to the spot price. Make the spot price st and the next futures contract price F. Changing positions means that you sell the last contract of St and then buy the next contract with F, so Rollyield = (ST-F)/ST.