Horizon return

(redirected from Horizon Returns)

Horizon return

Total return over a given horizon.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Horizon Return

A discounted, total return on an investment or portfolio over a given time frame, called a horizon. For example, one might calculate the return on an investment over its first year or first five years, etc. See also: Horizon analysis.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
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As the figure shows, uncertainty about predictable returns cuts the increase in stock allocation from one to ten years in half In addition to the positive correlation of returns due to learning about their mean mentioned above, uncertainty about the true amount of predictability adds to the risk (including parameter risk) of longer horizon returns.
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This model, termed the Equal Weighted Relative Strength (EWRS) model, examines the relative strength of fund performance by testing the serial correlation of evaluation horizon returns with that of the fund's investment period returns.