cumulative geometric average returns

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Asanka Subasinghe 2020-6-8

评论： KSSV 2020-6-8

I have a range of returns for a certain number of days. I'm wondering how I could calculate the cumulative geometric average returns.

Eg. day 1 return =5 % day 2 return =-1% day 3 return =4

so the cumulative geometric average return for day one would be (1+0.05)^(1/1)-1

For day 2 it would be ((1+0.05)*(1+0.99))^(1/2)-1

and for day 3 it would be ((1+0.05)*(1+0.99)*(1+0.04))^(1/3)-1

Rg=((1+R1)*(1+R2)*(1+R3)...(1+Rn))^(1/n)-1

I am unsure about the logic needed for the accumulation because I am multiplying the returns together rather than adding

where I could do something like sum=sum+return to find an average for example.

KSSV 2020-6-8

编辑：KSSV 2020-6-8

Let R be your array of size 1*n.

iwant = cumprod(1+R).^(1./(1:n))-1

Thank you!

KSSV 2020-6-8

Thanks ia accepting the answer.

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