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For example, three-year rolling returns from December 1975 through June 2017 show that more than 60% of actively managed blend funds beat their index counterparts when average annual market returns were 5.
3) Emphasize 5-year rolling returns instead of the DOL mandated (and often misleading) 1-, 5- and 10-year snapshot- in-time performance figures.
One positive, though, is that it has been able to consistently beat its benchmark, the BSE 100 index, in terms of three-year rolling returns since April 2012.
1-year rolling returns shall be computed by taking the year-over-year percentage change in the Net Asset Value Per Share (NAVPS) of a mutual fund or portfolio during the last day of each month beginning January 2010 until December 31, 2010, the study's evaluation date, for a total of 12 monthly rolling returns.
For example, if the rolling returns of a mutual fund are being investigated over a 1-year evaluation horizon, then the risk-free rate that will be applied to calculate the portfolio's excess returns will be the fixing yield on a Philippine T-Bill exactly a year prior to the returns computation date.
Operationally, the beta of a mutual fund's rolling returns with respect to the benchmark index shall be computed by utilizing the rolling returns data of both the mutual fund and the HSBC benchmark over the most recent 12 months immediately prior to the study's evaluation date.
As such, the total risk of the mutual funds to be investigated in this research paper shall be computed by taking the standard deviation of their annualized 1-, 3-, and 5-year monthly rolling returns over the 12 months immediately preceding the study's evaluation date.
Breaking down the Treynor ratios of the funds into their component parts would show that all these funds with negative Treynor metrics had 3- and 5-year average rolling returns that failed to beat on average a passive investment in 3- and 5-year FXTNs respectively.
Its total risk or the standard deviation of its 5-year rolling returns is 0.
Since the NAVPS of mutual funds from which the rolling returns are derived are reported net of all relevant administrative costs and management fees, future studies could consider restating the fixing or reference yields net of the withholding tax.
Total return for the last three, five, seven and 10 years; -- 1992-2002 total-return performance compared with the S&P 500, the Lehman Bond Index, or the iMoneyNet Money Market Average; -- Size, objective, and management philosophy; -- Latest annual and monthly performance for 2002; -- Rolling returns for three and five years on all funds; -- Descriptions of fund managers and their track records.
Also, NASDAQ symbols and 12-month rolling returns for the Scudder Funds were added to the Personal Page.