Best and Worst Statistics
Best and Worst Period Returns
The best period return for a time window is simply the maximum of the returns inside this window. Similarly, the worst period return for a time window is the minimum of the returns inside this window. Thus, if the return series is r1, ..., rn, we have
Best Period Return = max(r1, ..., rn)
Worst Period Return = min(r1, ..., rn)
Best and Worst One-Year Returns
To calculate the best one-year return for a return series, the program moves a one-year time window along the series and calculates the compound return for each of these windows. The best one-year return is the maximum of the returns thus found. Similarly, the worst one-year return is the minimum of the returns thus found.
Note that best and worst one-year returns do not refer to calendar years. Rather, they refer to arbitrarily placed one-year periods.