Hello,I am doing some backtesting for single factors at the moment. At this moment we are not working with a complete set of tools. All I have at the moment is a csv file containing the returns of a buy & hold strategy. Hold takes 12 months. Tests are monthly and the date show the starting point. The performance is for the next 12 months, so forward-looking.Now I have some questions regarding calculating other returns.How to calculate an average yearly return over the whole time?How to calculate an average 3year return?Now thinking of the file shows the outperformance and not the absolute performance.How to calculate an average yearly excess return over the hole time?How to calculate rolling 3 Year-Periods strategy outperforms?How to calculate the four numbers if the holding period is 7 months and not 12 months.The questions are the result of a book I am reading at the moment. It is "Quantitative Strategeis For Archieving Alpha" from Tortoriello. Perhaps anybody has an idea and perhaps an Excel file showing the calculations. Thank you very muchMartin

How to calculate an average yearly return over the hole time?How to calculate an average 3year return?How to calculate an average yearly excess return over the hole time?How to calculate rolling 3 Year-Periods strategy outperforms?How to calculate the four numbers if the holding period is 7 months and not 12 months.Perhaps an Excel file showing the calculationsFor periodic (not log) returns, in Excel:{=PRODUCT(1+A1:A120)^(12/120)-1}{=PRODUCT(1+A1:A120)^(36/120)-1}{=(PRODUCT(1+A1:A120)^(12/120)-1) - (PRODUCT(1+B1:B120)^(12/120)-1)}{=(PRODUCT(1+A1:A120)^(36/120)-1) - (PRODUCT(1+B1:B120)^(36/120)-1)}{=PRODUCT(1+A1:A120)^(7/120)-1}, etc.

Hi Patrick,thank you for your response. Perhaps I described my problem not enough. I think you calculations are base on a monthly return. What I have are monthly values, but they contains the return for about 12 or 7 months (separate tabs).For 12 months your formula for annual return shows 7.6%. The mean of all values shows about 24.49%.Because all the value containing the return of 12 months I think the return must be nearer at the mean.I appended an Excel file containing all is needed for easy viewing. Your formulas are included.Perhaps anybody have an idea.Martin