Performance figures can cover a rolling period, whether annually, monthly, weekly or daily.  Rolling returns are a fund’s total returns reported in an overlapping series of rolling twelve-month periods starting on the first day of the month and going back as far into the past as the data are available.  It shows the frequency and magnitude of an investment’s good and bad performance periods and reports a fund’s returns at a particular point in time.

Capital return is that portion of a fund’s total return from realized and unrealized increases in the value of securities in the portfolio, while income return is that portion of a fund’s total return received in the form of income distributions:

Total Return = Capital Return + Income Return

Whereas a stock fund’s returns may result entirely from capital return, income return comprises most of the total return on bond funds.  Capital return and income return tell investors whether a fund’s returns come from capital, income or a combination of the two.

Taxes are a significant consideration for most fund investors.  The two following metrics report fund returns before and after taxation:

  • Pre-tax return – The average annual compound (annualized) rate of return a fund earned before accounting for any taxes, commonly reported for one-, three-, five- and 10-year periods, it considering the reinvestment of any dividends and interest income but not the taxes owed on such distributions received by the fund; and
  • After-tax return – A fund’s annualized tax- and load-adjusted total return for a specified time period, where interest income, dividends and capital gains are each taxed at the highest federal tax rate prevailing, while ignoring any state and local taxes.

Investors are also taxed on the capital gains realized when they sell their fund shares, which can result when the shares are bought at a discount or sold at a premium to NAV.

The Global Investment Performance Standards (GIPS) are the standardized ethical principles and methodologies that guide investment managers on the calculation, presentation and full disclosure of investment performance results.  They are prescribed by Chartered Financial Analyst Institute to CFA charterholders.

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