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?

  • Trailing means that it's not calculated at fixed intervals but rather continuously. You can replace trailing with last. Commented Apr 26, 2017 at 13:36

2 Answers 2


( t2 / t1 ) - 1

Where t2 is the value today, t1 is the value 12 months ago. Be sure to include dividend payments, if there were any, to t2. That will give you total return over 12 months.


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

where 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.

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