In my opinion it should be called "Go to current month", which is what it does.

1) The "this" part is not clear. If I'm analysing month X that's what I'll be interpreting as "this month", not the current month.

2) The "back" is not necessarely true - I wasn't seeing the budget of the current month before and, even if I was, that doesn't really matter. "Go to" is just more clear.