Kuroda
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- Joined
- 10/4/11
- Messages
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- 11
Hello everybody, I would like to ask some question about how would you handle log returns, since I'm getting "trickied" by my results.
Suppose you got monthly log returns for, say 10 years for a total dataset of 120.
What do you also think about computing other statistics, Kurt./Skew., would they need to be computed on specifically adjusted returns?
Thanks..
Suppose you got monthly log returns for, say 10 years for a total dataset of 120.
- Trying to get an annualized return for the - say - industry: I took the exponential of the entire dataset, then computed the product out all of them to get cumulative result. The CumulRet was then adjusted: (CumulRet^(1/T))-1 to get the annualized result. T=10
- Standard Dev: Adjusted the STDev multipling it by SQRT(T). T=10
What do you also think about computing other statistics, Kurt./Skew., would they need to be computed on specifically adjusted returns?
Thanks..