Investor Corner/Building and judging a portfolio/Performance Measurement
3.2.3 Rolling Returns
Rolling returns calculate performance over many overlapping periods, such as every possible three-year window in a fund's history, rather than a single fixed start and end date. This shows consistency far better than one point-in-time figure.
Why a single-period return can mislead
A fund's quoted 5-year return depends entirely on which specific starting date happens to be chosen. A fund that looks excellent measured from one particular date might look mediocre measured from a date just a few months earlier or later, purely because of when the measurement window happened to start and end, not because anything about the fund actually changed.
How rolling returns fix this
Instead of one fixed window, rolling returns calculate the same period length, say three years, starting from every possible date across a fund's full history, then look at the entire resulting distribution. A fund that consistently delivered solid three-year rolling returns across nearly every window looked at is a genuinely different, more reassuring picture than one that only looks good from one specific, cherry-picked starting date.
How to use rolling returns when evaluating a fund
Look at the proportion of rolling windows in which a fund beat its benchmark or category average, not just its most recently quoted single-period figure. A fund that has beaten its benchmark in most rolling windows across a full market cycle has demonstrated a more genuinely consistent edge than one that simply happens to look good right now.
How PriLytics helps. PriLytics tracks your portfolio's value against your benchmark continuously over time, letting you see performance across whatever period you choose rather than a single fixed window. Compare against a benchmark.