Just recall that return on a long forward position over the term of the forward contract from $\displaystyle t=0$ to $\displaystyle t=T$ is \begin{equation} R_{T,0}=\frac{S_{T}-F_{0}}{S_{0}} \end{equation}

Value $\displaystyle p_{t}$ of a long forward position at $\displaystyle t\in[0,T]$ is \begin{equation} p_{t}=(F_{t}-F_{0})e^{-r(T-t)} \end{equation}

Simply, would you compute one-step (e.g. one-day) return on the long forward position at $\displaystyle t\in]0,T]$ as below? \begin{equation} R_{t,t-1}=\frac{p_{t}-p_{t-1}}{1+p_{t-1}} \end{equation}


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