Extract annualized returns from daily stock returns timetable

Question

CdC 2022-7-21

0
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/1765360-extract-annualized-returns-from-daily-stock-returns-timetable

回答： dpb 2022-7-23

I have daily stock price data. I have converted into returns data using price2ret. That yields a timetable with daily resolution of stock returns, like this:

MCStest =

500×6 timetable

   Time               AAP                     AAPL                    ABBV                    ABC             ABI1    ABKFQ
    __________    ____________________    ____________________    ____________________    ____________________    ____    _____
    2020-07-22       0.013707642305162     0.00280409009336856     0.00307992438542299    -0.00326655463454243    NaN      NaN 
    2020-07-23     -0.0068967521334406     -0.0455115537324622      0.0033775143352021     0.00212169432446765    NaN      NaN 
    2020-07-24    -0.00741282613996586    -0.00247725440494493    -0.00938486512623912    -0.00259451795841217    NaN      NaN 
    2020-07-27    -0.00298727460325256      0.0237002892885753    0.000515318702652003     0.00231223732652311    NaN      NaN 
    2020-07-28    -0.00435635367283988     -0.0164328805565214    -0.00463199477558924     -0.0181715901086798    NaN      NaN 
    2020-07-29      0.0138191825300191      0.0191738741676468     0.00310260006427848      0.0117479958593129    NaN      NaN 
    2020-07-30      0.0314407069276961      0.0121001434206156    -0.00999938572708972     -0.0110310038784591    NaN      NaN 
    2020-07-31     -0.0178539309887822      0.0897275956093941     -0.0117658008422978     -0.0193824374329337    NaN      NaN 
    2020-08-03      0.0160483474539514       0.025202338284134      0.0108520693847497      0.0428187978742718    NaN      NaN 
        :                  :                       :                       :                       :               :        :  
    2022-07-05      0.0499263972648275      0.0189303849956542    0.000845532164624849      -0.016976456423204    NaN      NaN 
    2022-07-06    -0.00295788407265366     0.00960725727445775    -0.00909521038280395    -0.00618178240261659    NaN      NaN 
    2022-07-07      0.0122113858017691      0.0239994092995804    -0.00347484374147837     0.00679036580577988    NaN      NaN 
    2022-07-08     -0.0059244785831444     0.00471473565344578     0.00559231602896037      0.0125023736537991    NaN      NaN 
    2022-07-11    -0.00628437471824008     -0.0147578711265199     0.00248609048110571    -0.00862718568208682    NaN      NaN 
    2022-07-12      0.0114959215337574     0.00683370045180129    -0.00502521841991656    0.000422275898180835    NaN      NaN 
    2022-07-13     0.00816289917473986    -0.00253667181964532    -0.00203330492595767     -0.0160565948537854    NaN      NaN 
    2022-07-14     0.00361242103389985      0.0204824905235388     -0.0112390642469217     0.00302005937162174    NaN      NaN 
    2022-07-15      0.0145129259902832       0.011450121509914      0.0211383367689322      0.0192804475390485    NaN      NaN 

Display all 500 rows.

I would like to compute the annualized returns for each of the stocks in the table. This is proving surprisingly hard to find so I thought I would post the question. There are all kinds of more complex metrics described clearly. How do I compute the annualized returns? Ideally, it'd be nice to be able to do this using either continuous or periodic methods. Also, as you can see I need a method to clear NaN data out of the table and apparently I'm not using rmmissing correctly. I presume there's a simple way to do this without requiring advanced toolboxes that future readers of this question might not have, but toolbox-based functions would be fine too. Would also be great to be able to compute returns from a weighted portfolio of the same returns given a table of returns and a table of weights.

Thank you for your help