What is the rolling analysis tab for?
NGEN Markets Admin
Last Update 2 years ago
The rolling analysis tab lets you do two things:
1. Run rolling returns over three separate windows.
2. Run rolling volatility (or standard deviation) over three separate windows.
You can define these windows using working days, where 260 stands for one year. So for eg, if you wanted to run a 1Y, 2Y and 3Y rolling analysis, you would enter 260, 520 and 780.
We show a chart of the history of rolling returns, along with average, volatility (standard deviation), high and low, for each window in both cases.
Please note that we use daily frequency data for rolling analysis.
It is strongly recommended that you DO NOT consider monthly or weekly frequency data for rolling analysis.
Remember, every investor has to suffer the NAV of a fund on a daily basis; there is no point in analysing monthly data points where you miss out all the action during the month and use such little representation to analyse performance. Imagine an entire year's worth of performance being described by just twelve data points! The highs and lows will not be correct as most highs and lows do not happen right at the beginning or end of the month.