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st: Correction for overlapping return series

From   Malcolm Wardlaw <>
Subject   st: Correction for overlapping return series
Date   Wed, 10 Feb 2010 18:40:12 -0600

I have a series of annual returns on one-year futures contracts for every month they expire.  Essentially I have a monthly time series of annual returns.  I'm regressing these on a similarly calculated annual return series.  Assuming for a moment that the series is i.i.d from year to year, how do I correct for the fact that I have 12 quasi-overlapping observations in each year?  I feel like the answer to this question should be easy, but I'm not sure I'm doing it right.

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