Hi all, If I have wealth number on the following days.... what's the standard way of computing the daily return and growth rate? What's a standard way of defining growth rate? (360 day convention, and how about holidays and weekends)? 1/1/1999 1/4/1999 1/5/1999 1/6/1999 1/7/1999 1/8/1999 1/11/1999 1/12/1999 1/13/1999 1/14/1999 1/15/1999 1/18/1999 Thanks a lot!
how to compute the daily return?
2 messages · Michael, Khanh Nguyen
You can take a look here http://cran.r-project.org/web/packages/zoo/vignettes/zoo-quickref.pdf there is a 'Price and Returns' section. Moreover, package PerformanceAnalytics has a 'Return.Calculate' method that I think you can use. -k
On Sat, Jun 20, 2009 at 5:54 PM, Michael<comtech.usa at gmail.com> wrote:
Hi all, If I have wealth number on the following days.... what's the standard way of computing the daily return and growth rate? What's a standard way of defining growth rate? (360 day convention, and how about holidays and weekends)? 1/1/1999 1/4/1999 1/5/1999 1/6/1999 1/7/1999 1/8/1999 1/11/1999 1/12/1999 1/13/1999 1/14/1999 1/15/1999 1/18/1999 Thanks a lot!
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