What Are Rolling Returns?

Since the inception of the Reaves Long Term Value Strategy in January 1978, there have been 436 distinct 5-year time periods.

Known as rolling return periods, they potentially offer additional insights into the performance of an investment manager beyond what can be inferred from a review of trailing returns at one specific date.

As an example, depicted below are the rolling 5-year returns of the S&P 500 Index for 12 periods starting at the beginning of each month in 2009.

In this example, an investor’s return over the subsequent five years varied from an annualized return of 13.1% (investment made on December 1) to 18.4% (investment made on March 1).

In periods of greater volatility, the range of performance outcomes becomes even wider. Using Rolling Returns To Assess Investment Managers Armed with the rolling return data for multiple periods, performance can be analyzed over multiple time periods to better understand a manager’s investment strategy and how it acts in differing market environments.   Reaves Asset Management has compiled the returns of its Long Term Value Strategy for 436 distinct 5-year periods ranging from 1978 through the first quarter of 2019. Below is a summary of the data and how it compares to the S&P 500 Index.

5-Year Periods With Positive Total Returns

5-Year Period With Lowest Annualized Returns

5-Year Period With Highest Annualized Returns

Average 5-Year Annualized Returns When:

S&P 500 < 10% (138 periods)

S&P 500 > 10% (298 periods)