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Formula: (Sum ROR for each calendar year in program history)/(number of calendar years in program history)
Example: ABC program
Start Date: Oct. 1995
End Date: Aug. 1998
(Sum ROR 1996, ROR 1997)/2
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Related Terms:
- Short Selling definition
- Time Windows definition
- Total Return definition
- Barclay CTA Index definition
- Sharpe Ratio definition
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