Following is a detailed series of definitions for a rolling series operation. The parameters are changed step by step to demonstrate the effect of each.
Example: Inception to Date Linked Return for Each Month
The example in the following image uses the maximum number of default parameters, (for example, Date Range, Rolling Offset, and Repetitions).
By choosing a column for the Rolling Series Geometric Linking operation, you get the result shown in the following figure.
Example: Inception to Date as of End Date of Query
By changing one parameter, the number of repetitions, you can produce a column with the ITD return as of the end date of the report (shown in the following figure.) The Query Tool performs the operation once from the begin to end date and stops.
Results are shown in the following figure.
Example: Quarterly to Date Returns
If you change another parameter, the Rolling Offset, you define how the Query Tool should reset the end date for each repetition of the operation. In the example in the following figure, you create a series of rolling quarter returns, that is, the return to date measured every three months. In this case, the begin date is 5/31/1998 as in previous examples, but you could use any begin date, including the fund inception date.
Results are shown in the image below.
Example: Rolling Three Month Returns
By changing one more parameter, the Begin date, you can create rolling operations that have discrete begin dates. In the example in the following figure, you create a series that links the last three months of returns every third month. So, in this example, both the begin and end date of the operation roll through time.
In all the previous examples, only the end date rolled. To roll the Begin Date, in the Date Range Options, offset the begin date from the end date by the time period over which you want to perform the operation. In this case, three observations equal three months since the frequency of the data is monthly.
Results are shown in the following figure.
Example: Series Derivation Operations
Series derivation operations require that you specify the two columns upon which the operation is performed. In most cases, you can also specify how to treat nulls. See the image below.
You can also add a difference series derivation column between the results of two rolling operations. For example, in the following figure you added a column to show the differences between the one-month and rolling quarterly returns.
You can continue to define rolling and series derivation columns. For example, you can add another column using the maximum operation to capture the largest difference between the rolling quarterly fund and index returns. If you create a new statistical operation, you are asked if you want to save it before closing the report results
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