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When people say look back period of 6 months, how does that data look like? Are that 6 months of raw data or a weighted average of that data? I am a little confused on how you come up with beta values for example if you are using 6 months of raw data and how Rolling OLS works this way.

Thanks.

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    $\begingroup$ I think it usually means that if we want to make a trading strategy based on for instance quarterly reports, then it would be cheating, if our trade on the 1st of July was based on the half-year financial report for the period ending on 30th of June. We instead assume that we are only able to base our trade on the End of Year financial report for the period ending on 31st of December to make sure that data was available at the time the trade was made. $\endgroup$
    – mmencke
    May 23, 2021 at 12:47

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Every day (or every week) you compute a new Beta using the daily returns for the last 6 months. The 6 months keep being shifted forward (by 1 day, or 1 week, etc.) and that is what the word "rolling" indicates. "Lookback" refers to the length of past data used. The data for successive Beta estimates largely overlap, so the Beta estimates are not statistically independent.

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