This question is an exact duplicate of:
In a momentum strategy, every month you form a portfolio of winners. Each of these portfolio you hold for K months. So after K months you sell the 1st portfolio, after K+1 months you sell the next and so on. This results in a K-monthly return, every month. How do you cumulate these returns over time?
Imagine you keep every portfolio 12 months. After 1 year you start selling these portfolios every month, resulting in returns (1+r) of for example 1.07 , 1.065 , 1.067, ... What is the cumulative return? 1.07 x 1.065 x 1.067 x ... ? Or something else?
Thank you in advance!