rolling 5 yr returns with monthly data

[irrationalgeek]

Hello,
This is my first post.
I have data from July 2000 to June 2015 each month of returns. How do I get the 5 yr rolling returns, I have seen and done the 1-60, 2-61 the sum them and divide by the number of periods rolled to get the rolling returns but I am stuck and I cant get an answer. Thank you. Sorry if I stepped on community rules here.

 

[Oscar]

If you want to calculate the simple moving average (SMA) of a 5 year period your approach should be correct: You sum the returns of the months 1-60 and divide them by 60 months. You then keep shifting the timeline one month further into the future until reaching month 180 (=June 2915).

 

[MBStrader]

I’ve seen that type of thing more commonly shown as a rolling annualized return. So for each 60 month period you would have a formula like this: (1+month 1 return)*(1+ month 2 return) etc ^ 12/60 -1

 

[S666]

Are you looking for the rolling 5 year annualised returns, or the actual rolling cumulative return for a 5 year period?
if you are looking for the actual rolling 5 year period cululative return then you just sum the 0-60 months, then move one step down and sum the 1-61, then 2-62 etc. then you just plot these values….no need to divide by the number of periods as you are looking for the cumulative 5 year rolling return. This means that your plot will have to start after 5 years and so from 2000-2015 you will have 10 years worth of rolling 5 year cumulative returns.
If, however you are looking for a rolling 5 year ANUALISED return then you do the same as above however you have to multiply the 0-60, 1-61 values mentioned above by (1^0.2) to change the results from a rolling 5 year cumulative to a rolling 5 year annualised return.