Excel Rolling Returns Calculator

Published: September 2, 2013 at 11:30 am

Use this Excel based rolling returns calculator to evaluate the consistency in performance of your mutual funds and stocks by comparing them with their benchmark indices.

Returns for a financial instrument that fluctuate can be calculated in two ways:

Point-to-point returns: The effective annual compounded growth rate (CAGR) is calculated between any two dates. You can calculate CAGR for your mutual fund and compare with its benchmark from Jan. 1st to Dec 31st or you calculate CAGR for the year to date (last 365 days). So the start and end date can any thing convenient to us.

If we choose standard time durations (Jan. 1st to Dec. 31st  or 1st/2nd/3rd/4th quarters) then it makes sense to use point-to-point returns for evaluating mutual funds or stocks with respect to their indices.

If we calculate point-to-point returns for the last 1/3/5 years then results will entirely depend on the end-date. That is, whether I choose the end-date of my 1/3/5 year period as today, last week or last month.

Trouble is many online resources (VR online, Money Control, Morning Star) prominently display such 1/3/5 year point-to-point returns misleading many investors.   The end-date for such results is typically a few days before results are published. Such results cannot and should not be used for evaluating mutual funds.

What we need to know before choosing a mutual fund, or more importantly before deciding to quit a mutual fund scheme, is how consistent is the funds performance when compared with its benchmark. To do this we need to use Rolling returns

Calculating Rolling returns:  To calculate rolling returns, we need to again decide a start-date and end-date. Let us say this is a 10 month period. We then calculate the percentage change in the funds NAV from day 1 (start-date) to day 7 (weekly return or IRR). We then calculate the weekly return from day 2 to day 8, day 3 to day 9 and so on until we reach the last date. We repeat this exercise for the benchmark as well.

If the all the dates in our NAV history and index history are identical then we could find out the number of weeks the fund has outperformed its benchmark. If say, the fund has beat its benchmark 75% of the all available rolling returns then fund could be rated ***** or something like that!

Rolling returns thus give you a measure of consistent fund performance between any two dates. One way to consistency is to check if the average of rolling returns for the mutual fund is higher than its benchmarks. The higher the better – it means the fund has beat the benchmark for more rolling intervals.

The standard deviation associated with the average of the rolling returns data gives you an idea of fund volatility when compared with its benchmark.

Point-to-point return calculations cannot give us an idea of consistency in performance and of volatility.

A crude example could perhaps illustrate this idea better: Imagine two couriers, A and B, who have been given the task of taking a consignment from point 1 to point 2 on either side of a steep mountain range.

  • Courier A uses the road and goes around the mountain range.
  • Courier B climbs the mountain range.

There are two ways I could evaluate actions of the couriers.

  • The point-to-point approach: I ignore the journey details and only worry about the end result: Did the couriers complete their task successfully?
  • The rolling returns approach: My consignment is important to me. So the path chosen by the courier is important to me. I study their paths and ask: which courier took the minimum risk while achieving his/her task?

Excel Rolling Returns Calculator

  • You will need to input the NAV (or stock price) history of your mutual fund You can easily get this from Personalfn NAV history in excel format
  • You will also need to input the benchmark history. These can also be obtained in excel format from the BSE site or the NSE site
  • These sites will give the history in .csv file. You will need to arrange the entries in ascending order – earliest date is the first entry, and copy the entries into the rolling returns calculator page.
  • I know these sounds like a lot of work. Believe me once you do it a couple of times, you will be quite comfortable with it.
  • The calculator can handle 5000 NAV entries. So it is good enough for about 19 years or so!
  • After you enter the NAV and index history, you need to choose the period for which you need the rolling returns analysis – 365 days (preferred choice for non-experts if you have data for at least 5 years), 90 days, 7 days etc.
  • There is an analysis page where the results for the fund and its benchmark are compared.
  • I have not included computation of number of periods the fund outperforms the benchmark. To do this the dates in the NAV and index history much match exactly. If you are interested in this, I will include this in a future version.
  • I have included Franklin India Blue Chip NAV (my favourite mutual fund) and Sensex data as an example.

If you are an investor interested in evaluating mutual funds, please use the calculator and let me know if it was useful to you along with suggestions for improvement

If you are a finance professional, I would be much obliged if you could evaluate the calculator and let me know your impressions. Your feedback will be useful to everyone.

Version 5:  Download the multi-index rolling returns calculator June 2017

Version1 : Automated version is available

Download the Excel Rolling Returns Calculator  (requires Excel 2007 or above. Let me know If you need it as a .xls file)

Do share if you found this useful
Share your thoughts on this topic at the  Reddit freefincal_user_forum

Reach your financial goals like a pro! Join our 1600+ Facebook Group on Portfolio Management! You can now reduce fear, doubt and uncertainty while investing for your financial goals! Sign up for our lectures on goal-based portfolio management and join our exclusive Facebook Community. The 1st lecture is free!
Want to check if the market is overvalued or undervalued? Use our market valuation tool (will work with any index!) or you buy the new Tactical Buy/Sell timing tool!
About the Author Pattabiraman editor freefincalM. Pattabiraman(PhD) is the founder, managing editor and primary author of freefincal. He is an associate professor at the Indian Institute of Technology, Madras. since Aug 2006. Connect with him via Twitter or Linkedin Pattabiraman has co-authored two print-books, You can be rich too with goal-based investing (CNBC TV18) and Gamechanger and seven other free e-books on various topics of money management. He is a patron and co-founder of “Fee-only India” an organisation to promote unbiased, commission-free investment advice. He conducts free money management sessions for corporates and associations on the basis of money management. Previous engagements include World Bank, RBI, BHEL, Asian Paints, Cognizant, Madras Atomic Power Station, Honeywell, Tamil Nadu Investors Association. For speaking engagements write to pattu [at] freefincal [dot] com
About freefincal & its content policy Freefincal is a News Media Organization dedicated to providing original analysis, reports, reviews and insights on developments in mutual funds, stocks, investing, retirement and personal finance. We do so without conflict of interest and bias. Follow us on Google News Freefincal serves more than one million readers a year (2.5 million page views) with articles based only on factual information and detailed analysis by its authors. All statements made will be verified from credible and knowledgeable sources before publication. Freefincal does not publish any kind of paid articles, promotions or PR, satire or opinions without data. All opinions presented will only be inferences backed by verifiable, reproducible evidence/data. Contact information: letters {at} freefincal {dot} com (sponsored posts or paid collaborations will not be entertained)
Connect with us on social media
Our publications

You Can Be Rich Too with Goal-Based Investing

You can be rich too with goal based investingPublished by CNBC TV18, this book is meant to help you ask the right questions, seek the right answers and since it comes with nine online calculators, you can also create custom solutions for your lifestyle! Get it now. It is also available in Kindle format.
Gamechanger: Forget Startups, Join Corporate & Still Live the Rich Life You Want Gamechanger: Forget Start-ups, Join Corporate and Still Live the Rich Life you wantThis book is meant for young earners to get their basics right from day one! It will also help you travel to exotic places at low cost! Get it or gift it to a young earner

Your Ultimate Guide to Travel

Travel-Training-Kit-Cover-new This is a deep dive analysis into vacation planning, finding cheap flights, budget accommodation, what to do when travelling, how travelling slowly is better financially and psychologically with links to the web pages and hand-holding at every step. Get the pdf for Rs 199 (instant download)
Free android apps