参考答案：A

解析：

The total return to the investor includes the interest on the Treasury security (called collateral yield, and includes reinvestment income) along with the net gains or losses associated with the futures position. The return from the futures position comes from two sources: changes in the spot price of the underlying commodity and the roll yield. The roll yield occurs when the futures price is less than the spot price. In this instance an investor earns a return by simply buying and holding the futures position since the futures price must appreciate toward the spot price as the contract approaches maturity.