diff --git a/asv_bench/benchmarks/rolling.py b/asv_bench/benchmarks/rolling.py
index 52814ad3481..3f2a38104de 100644
--- a/asv_bench/benchmarks/rolling.py
+++ b/asv_bench/benchmarks/rolling.py
@@ -8,27 +8,44 @@
 from . import parameterized, randn, requires_dask
 
 nx = 3000
+long_nx = 30000000
 ny = 2000
 nt = 1000
 window = 20
 
+randn_xy = randn((nx, ny), frac_nan=0.1)
+randn_xt = randn((nx, nt))
+randn_t = randn((nt, ))
+randn_long = randn((long_nx, ), frac_nan=0.1)
+
 
 class Rolling(object):
     def setup(self, *args, **kwargs):
         self.ds = xr.Dataset(
-            {'var1': (('x', 'y'), randn((nx, ny), frac_nan=0.1)),
-             'var2': (('x', 't'), randn((nx, nt))),
-             'var3': (('t', ), randn(nt))},
+            {'var1': (('x', 'y'), randn_xy),
+             'var2': (('x', 't'), randn_xt),
+             'var3': (('t', ), randn_t)},
             coords={'x': np.arange(nx),
                     'y': np.linspace(0, 1, ny),
                     't': pd.date_range('1970-01-01', periods=nt, freq='D'),
                     'x_coords': ('x', np.linspace(1.1, 2.1, nx))})
+        self.da_long = xr.DataArray(randn_long, dims='x',
+                                    coords={'x': np.arange(long_nx) * 0.1})
 
     @parameterized(['func', 'center'],
                    (['mean', 'count'], [True, False]))
     def time_rolling(self, func, center):
         getattr(self.ds.rolling(x=window, center=center), func)()
 
+    @parameterized(['func', 'pandas'],
+                   (['mean', 'count'], [True, False]))
+    def time_rolling_long(self, func, pandas):
+        if pandas:
+            se = self.da_long.to_series()
+            getattr(se.rolling(window=window), func)()
+        else:
+            getattr(self.da_long.rolling(x=window), func)()
+
     @parameterized(['window_', 'min_periods'],
                    ([20, 40], [5, None]))
     def time_rolling_np(self, window_, min_periods):
@@ -47,3 +64,4 @@ def setup(self, *args, **kwargs):
         requires_dask()
         super(RollingDask, self).setup(**kwargs)
         self.ds = self.ds.chunk({'x': 100, 'y': 50, 't': 50})
+        self.da_long = self.da_long.chunk({'x': 10000})
diff --git a/doc/whats-new.rst b/doc/whats-new.rst
index 40e206aaa86..1a252b15fd0 100644
--- a/doc/whats-new.rst
+++ b/doc/whats-new.rst
@@ -37,6 +37,10 @@ Documentation
 Enhancements
 ~~~~~~~~~~~~
 
+ - Some speed improvement to construct :py:class:`~xarray.DataArrayRolling`
+ object (:issue:`1993`)
+ By `Keisuke Fujii <https://github.com/fujiisoup>`_.
+
 Bug fixes
 ~~~~~~~~~
 
diff --git a/xarray/core/rolling.py b/xarray/core/rolling.py
index fb09c9e0df3..079c60f35a7 100644
--- a/xarray/core/rolling.py
+++ b/xarray/core/rolling.py
@@ -151,34 +151,21 @@ def __init__(self, obj, min_periods=None, center=False, **windows):
         """
         super(DataArrayRolling, self).__init__(obj, min_periods=min_periods,
                                                center=center, **windows)
-        self.window_indices = None
-        self.window_labels = None
 
-        self._setup_windows()
+        self.window_labels = self.obj[self.dim]
 
     def __iter__(self):
-        for (label, indices) in zip(self.window_labels, self.window_indices):
-            window = self.obj.isel(**{self.dim: indices})
+        stops = np.arange(1, len(self.window_labels) + 1)
+        starts = stops - int(self.window)
+        starts[:int(self.window)] = 0
+        for (label, start, stop) in zip(self.window_labels, starts, stops):
+            window = self.obj.isel(**{self.dim: slice(start, stop)})
 
             counts = window.count(dim=self.dim)
             window = window.where(counts >= self._min_periods)
 
             yield (label, window)
 
-    def _setup_windows(self):
-        """
-        Find the indices and labels for each window
-        """
-        self.window_labels = self.obj[self.dim]
-        window = int(self.window)
-        dim_size = self.obj[self.dim].size
-
-        stops = np.arange(dim_size) + 1
-        starts = np.maximum(stops - window, 0)
-
-        self.window_indices = [slice(start, stop)
-                               for start, stop in zip(starts, stops)]
-
     def construct(self, window_dim, stride=1, fill_value=dtypes.NA):
         """
         Convert this rolling object to xr.DataArray,