Quant charts explained: Excess Returns

The Excess Returns chart shows the rolling excess returns of an investment over a benchmark over a specified rolling period

What does the chart show?

Each point on the chart shows the excess return of a product or portfolio over the specified period. The window is rolled over each month, creating the chart of Excess Returns.

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, excess returns are annualised

 

When to use the chart

Similar to Rolling Returns, the chart can be used to examine long-term return consistency and trend in different market conditions. It is also useful for products with a return target above a benchmark

Rolling period can be set to the investment time horizon to compare excess returns against targeted return above benchmark

iRate specific

Cumulative excess returns is available only for one-month rolling period. The chart demonstrates the effect of accumulated excess returns over the specified period. We recommend using periods longer than 1 year or equal to the manager’s stated time horizon

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