cumulative geometric average returns

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Asanka Subasinghe
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.

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回答（1 个）

KSSV
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
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KSSV
KSSV 2020-6-8
Thanks ia accepting the answer.

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