In a blog post about momentum strategy, I have read the sentence
At the end of each month, compare the trailing 12-month total returns of U.S. and foreign stock markets.
What exactly are "trailing 12-month total returns" and what's the formula?
Total Return is the percent change in value (including andy dividends) of an instrument. The "trailing 12-month" means that your starting point is the value 12 months ago. So the formula is:
V + D
----- - 1
V is the value of the instrument on the reference date,
V0 is the value of the instrument 12 months prior to the reference date, and
D is the amount of dividends paid between the two dates.