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periodicreturns

Periodic total returns from total return prices

Syntax

TotalReturn = periodicreturns(TotalReturnPrices)
TotalReturn = periodicreturns(TotalReturnPrices, Period)

Arguments

TotalReturnPrices

Number of observations (NUMOBS) by number of assets (NASSETS + 1) matrix of total return prices for a given security. Column 1 contains MATLAB® serial date numbers. The remaining columns contain total return price data.

Period

(Optional) Periodicity flag used to compute total returns:

'd' = daily values (default)
'w' = weekly values
'm' = monthly values
n = rolling return periodic values, where n is an integer

Description

TotalReturn = periodicreturns(TotalReturnPrices) calculates the daily total returns from a daily total return price series.

TotalReturn = periodicreturns(TotalReturnPrices, Period) calculates the total returns for a periodicity you specify from a daily total return price series.

TotalReturn is a NUMOBS-by-NASSETS + 1 matrix containing month-end dates and return values. Each row represents an observation. Column 1 contains month-end dates in MATLAB serial date number format. The remaining columns contain monthly return values.

    Note:   Although input returns can have dates in either ascending or descending order, output total returns in TotalReturn have dates in ascending order, with the earliest date in the first row TotalReturn, and the most recent date in the last row of TotalReturn.

See Also

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