Questions tagged [rolling]

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How can I convert rolling annual returns back to quarterly returns?

I have a series of rolling annual returns and would like to convert these back to quarterly returns, which have not been provided. Is this possible formulaically, or is something like Excel's solver ...
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Rolling Hedge Performance

So I have Time Series data for Gas Spot and Futures Prices (first 6 front quarters and first 3 front years) from 2009-2019 and I want to evaluate the performance of a 3- year static hedge vs. 3- year ...
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First principles implied financing cost embedded in equity futures

i was reviewing this doc produced by the CME - https://www.cmegroup.com/education/files/S-and-P-500-Implied-Financing.pdf Per the document, if I take the following as a given: 1) Roll = Deferred ...
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Correct way to calculate the S&P500 average CAGR of earnings over 10 years rolling periods

Let's say we have only the following data for the earnings (e) and we calculated for each 10 years period the total earnings growth (G) and its Compounded Annual Growth Rate (AG) \begin{equation} \\...