Quant charts explained: Rolling Returns

Rolling Returns show the rolling returns of a product, benchmark or portfolio over the specified rolling period.

What does the chart show?

Each point on the chart shows the return of a product, benchmark or portfolio over the specified period. The sample window for calculation is moved in steps of one month, creating the “rolling” nature of the chart

When a benchmark is specified, rolling returns of both the product and the benchmark can be compared

How to interpret the chart

Short rolling periods will show more fluctuations, and by using longer rolling periods, short-term fluctuations are smoothed out. For periods longer than a year, returns are annualised.

When to use the chart

The chart can be used to examine long-term return consistency and trend in different market conditions. It is also useful for products with absolute return targets

Rolling period can be set to the investment time horizon to compare rolling returns against targeted return

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