Holding Period Returns

What is the appropriate observational period for evaluating an investment strategy?

This question is important, because different observational periods can produce different conclusions. For example, for the first 11 weeks of 2022, one of our better-performing factor indices has been the S&P 500® Low Volatility Index. Through March 18, 2022, Low Vol had declined 4.7%, versus a 6.1% decline for the S&P 500. This incremental value, however, did not accrue smoothly. Low Vol outperformed in only six of the year’s first 11 weeks; in mid-February, in fact, its year-to-date performance lagged that of the S&P 500 by more than 100 basis points.

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