Compound Trailing Returns

How we Calculate Trailing Returns using Cumulative Period Data

 

This is used when trailing returns or NAVPS are not available on a specific security, such as private funds or models. Usually monthly returns are used, but any period can be cumulated.

The number of periods (n) used depends on their length and the trailing return period being calculated. i.e. 12 monthly periods are used for 1 Year trailing returns.

 

Annualized Performance

 

All returns are calculated on an annualized basis (unless 1 year or less).

 

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Where:

𝑝 = π‘…π‘’π‘π‘œπ‘Ÿπ‘‘π‘’π‘‘ π‘Ÿπ‘’π‘‘π‘’π‘Ÿπ‘› π‘“π‘œπ‘Ÿ π‘Ž π‘π‘’π‘Ÿπ‘–π‘œπ‘‘

𝑑 = π‘π‘’π‘šπ‘π‘’π‘Ÿ π‘œπ‘“ π‘¦π‘’π‘Žπ‘Ÿπ‘  𝑖𝑓 π‘œπ‘£π‘’π‘Ÿ 1 π‘¦π‘’π‘Žπ‘Ÿ

𝑛 = π‘π‘’π‘šπ‘π‘’π‘Ÿ π‘œπ‘“ π‘π‘’π‘šπ‘’π‘™π‘Žπ‘‘π‘’π‘‘ π‘π‘’π‘Ÿπ‘–π‘œπ‘‘π‘