Extract annualized returns from daily stock returns timetable
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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
4 个评论
dpb
2022-7-22
Geometric mean -- the annualized return is the geometric average amount of money earned by an investment each year over a given time period.
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