lcai

You have equitized the cash( generated by the short side ) by investing in S&P 500 index futures. So your return will come from S&P 500 index not from cash.

Remember the futures price has a risk free rate "built into it" plus tracks the cash index. So the index already incorporates the risk free rate when traded as a futures contract. That is the inherent leverage available thru the Futures contract.

Plus it has the cash index equity rate of return built into it.

If you include the S&P index and the risk - free rate both , you'd be double counting the risk free rate.

In the first q, the risk free rate is all you get , since you did not equitize cash.