For single window style analysis, the program calculates one set of style weights per manager, using the entire selected date range. In this case, the style map graph will show one point per manager, and the asset allocation graph will show one set of weights per manager.
For rolling window style analysis, the program performs a whole sequence of style analyses for each manger. To this end, a small date range, or window, whose width is specified by the user, is placed at the beginning of the selected date range. This window is then moved forward by an increment that is again specified by the user, and a style analysis is performed for each resulting window. This results in a sequence of sets of weights for each manager. When such a sequence of weights is displayed in the style map graph or the asset allocation graph, the date that is associated with each set of weights is the last date inside the respective window.
Related Statistics:
Style Analysis
In-Sample vs. Out-of-Sample
Exponential Weighting
