Exhibit 30 Rolling 6m return CFAI p.84

[WantMyCharter]

On page 84, CFAI vol.5, in exhibit 30 there is an example of how to calcualte a rolling 6m returns mean.

For the mean, in stead of 6 periods, 7 periods are taken for the average calculation.

What is the difference between simply calculating the rolling 6m return (i.e. n=6 periods), vs. a roll return mean i.e. why add the additional period.

I hope anyone can help me with this.

Thanks,

[cpk123]

Consider you need to do a 3 month rolling return

Jan Feb Mar -> 1st 3 month average return

Feb Mar Apr -> 2nd 3 month average return

Mar Apr May -> 3rd 3 month average

Apr May Jun -> 4th

Rolling Return = (1st + 2nd + 3rd + 4th) / 4

"The rolling return, RR, is simply the moving average of the holding-period returns for a specified period (e.g., a calendar year) that matches the investor’s time horizon. For example, if the investor’s time horizon is 12 months, the rolling return would be calculated using so RRn,t =(Rt+Rt-1 +Rt-2 + … +R t−(n−1)) / n RR12,t =(Rt + Rt-1 +Rt-2 … Rt-11 ) / 12

Rolling returns provide some insight into the characteristics and qualities of returns. In particular, they show how consistent the returns are over the investment period and identify any cyclicality in the returns."

[WantMyCharter]

hi cpk123,

Thanks for your answer.

I understand how to calculate the RR. However, if you go to the specific example I mentioned in the curriculum, CFAI shows a calculation for a RR 6m mean.

In this example they take 7 periods in stead of 6. My question is therefore, why do they do this?

[cpk123]

if you understoodf the above they do 11 months at a time first berfore they did rolling return average for 12 rolling 11 months periods.

same thing … they do rolling returns for 7 rolling 6 month periods…

[gad4]

Not making sense for me either. They are not doing 11 months. t to t-11 is 12 months . And even if it was the case then 7 would be one month more, not less.

[S2000magician]

It looks weird.

I wouldn’t worry about it; there are a lot more important things in the curriculum about which to worry.