无论你是作为受托人来审查投资，还是作为指定的缴款参与人来选择你自己的选择, 评估过程的开始可能是一样的:“跟踪回报是什么样子的??” In other words, are the 1, 3, 5 & 10-year trailing performance numbers better, worse or largely similar relative to other options being considered? 这种依赖于跟踪业绩的倾向并不只适用于相互竞争的投资选择之间的比较, 我们还通常使用跟踪回报期来评估一个投资组合的目标是否在一段时间内得到满足，以及/或一个资产类别(由指数表示)是否值得在投资组合中加入新的或正在进行的投资. Unfortunately, trailing performance simply doesn’t tell the whole story.
Every trailing return reviewed for an investment, 投资组合或指数每次在一个新的时间段更新时都有一个“不清楚的故事”.g., September 30th vs. December 31st trailing performance). 这是因为有一个基本的“滚回”因素与每个周期(e.g., quarter), and while we all know the factor exists, it rarely gets a second thought when evaluating returns. What factor are we referring to? Each quarter when an investment’s trailing returns are updated, 不仅最新季度的业绩被计入了过去的业绩计算, 与每个单独的追踪回报期相关的最老的季度正在被剔除. As a result, when a positive quarterly return is added to a trailing return calculation, it creates an upward bias on the new period’s trailing return(s). Conversely, 当最老的一个季度的正回报被排除在相同的计算中, the effect is the opposite and vice versa. 这种“淘汰旧的，加入新的”方法通常被称为“端点敏感性”.” In simpler terms, 评价期何时开始和何时结束对所审查的结果有重大影响.
对于较短的跟踪返回计算，端点敏感性如何对结果产生巨大影响是很容易理解的. For example, for a 1-year trailing period (rolled quarterly), 在一年的计算中，25%的回报数据每季度都会发生变化，因为最老的一个季度被剔除，最近的一个季度被添加. While that logic is straightforward, 对1年追踪收益计算的实际数学影响是两个季度收益变化之间的delta函数. As a result, greater the difference in the quarter “added to,” relative to the quarter “dropped from,” the calculation, the larger the impact on the new 1-year trailing return calculation.
Despite this short-term recognition, 在审查长期结果时，我们通常不考虑终点敏感性的影响. 这是可以理解的，因为在长期跟踪回报率计算中，会出现一个季度的下降和增加.g., 10-years) does not typically result in large changes in performance. For example, when a 10-year trailing return rolls to the next quarter, each new quarter-over-quarter calculation retains 39 quarters (9.75 years) of legacy return data (97.5%) and for each year-over-year roll, 36 / 4的遗留回报数据(90%)仍然是新的10年计算的一部分. However, 当一个极端时期的表现，如2008年是数据从计算中删除, 即使是过去10年的业绩数据也可能显示出惊人的巨大变化.
The table below illustrates the upward trending impact on the S&P 500指数在2018年每增加一个季度，而2008年每个季度的指数表现连续从过去10年的表现计算中剔除.
资料来源:AndCo咨询公司，数据来源于巴黎投资指标. For illustrative purposes only.
As you can see, despite two negative return quarters for the S&P 500 index during 2018, 该指数的10年往绩收益率实际上是在2008年每个季度的负增长剔除后有所增长的. Most interestingly, even with 2018’s disappointing 4th quarter index return of -13.52%, the 10-year trailing performance of the S&P 500 from the 3rd to the 4th quarter still increased since that calculation was also dropping a -21.94% return from the 4th quarter of 2008 (+8.42% delta to the 10-year trailing return calculation). To understand just how extreme this swing is relative to history, the 2017-2018 year-over-year return change of +4.62% for the index was the 3rd 自1926年以来的83个滚动10年历年周期中最大的正向变化，远高于+0.03% average year-over-year variation.
Unfortunately, 而2008年的负季度对10年回报率计算的影响对2018年的10年往绩指数结果产生了很大的积极影响, the story doesn’t end there. The table below hypothesizes the potential downward impact on the S&P 500 index’s future 10-year trailing performance for the remainder of 2019.
资料来源:AndCo咨询公司，数据来源于巴黎投资指标. For illustrative purposes only. 上述说明了一种假设的情况，其中包括推测性的预测，因此实际结果可能与所指出的不同.
As you can see, after the 1st quarter of 2009’s negative return drops out the calculation, endpoint sensitivity may begin to cut the other way. Holding the S&P 500 index return at an admittedly unrealistic 0.00% for each quarter of 2019 (the index is +11.5% for the year through February), 图表显示了该指数的10年期往绩收益率可能在3月31日见顶st 当金融危机末期从10年往绩回报计算中剔除时. Although a 0.00% return is highly unlikely, the mathematical reality is unless the S&P 500 index can replicate the 15%+ performance realized during the 2nd and 3rd quarters of 2009 during upcoming the 2nd and 3rd 2019年的几个季度，该指数的10年往绩回报将开始下滑.
What’s the take away? First, this is a fascinating piece of mathematical market trivia. Second, if your portfolio is built around a meaningful allocation to domestic equity, 你投资组合的10年往绩总回报有可能在3月31日见顶st results (at least for some time). Finally, while they are certainly a valuable starting point, there is much more to consider when evaluating an investment, 投资组合或资产类别(指数)，而不是简单地比较其落后的业绩结果, even if those trailing returns are for long periods of time.
Important Disclosure Information
The views and opinions expressed are solely those of AndCo Consulting. These statements are not guarantees, predictions or projections of future performance or of any outcome. 不应将此视为投资建议或对任何具体行动的建议.
This document has been prepared for informational purposes only, and is not intended to provide, and should not be relied upon, for legal or tax advice. 本文件所提供之资料，以邮寄之日起有效，不得以任何日后日期为准, 并将不会更新或以其他方式修订以反映随后可用的信息, or circumstances existing or changes occurring after such date.
This contains forward-looking statements, 估计数和预测本身是投机性的，并受到各种不确定因素的影响，因此实际结果或结果可能与所指出的有重大差别.
All data and figures for the S&P 500 Index are sourced from Investment Metrics PARis. Certain information is based on sources and data believed to be reliable, but AndCo cannot guarantee the accuracy, adequacy or completeness of the information.
AndCo Consulting is an investment adviser registered with the U.S. Securities and Exchange Commission (“SEC”). 注册为投资顾问并不构成证券监管机构对该公司的认可，亦不表示该顾问已达到某一技能或能力水平.