Documentation

# periodicreturns

Periodic total returns from total return prices

## Syntax

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

## Description

example

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

example

````TotalReturn = periodicreturns(___,Period)` specifies options using one or more optional arguments in addition to the input arguments in the previous syntax. ```

## Examples

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Compute `TotalReturn` returned as a table using `datetime` input in a table for `TotalReturnPrices`.

```Dates = datetime(2015,1,1:10,'Locale','en_US')'; Prices = [0.01 0.03 0.1 -0.05 0.02 0.07 0.03 -0.01 -0.02 0.01]'; TotalReturnPrices = table(Dates,Prices); TotalReturn = periodicreturns(TotalReturnPrices)```
```TotalReturn=9×2 table Dates Prices ___________ ________ 02-Jan-2015 2 03-Jan-2015 2.3333 04-Jan-2015 -1.5 05-Jan-2015 -1.4 06-Jan-2015 2.5 07-Jan-2015 -0.57143 08-Jan-2015 -1.3333 09-Jan-2015 1 10-Jan-2015 -1.5 ```

## Input Arguments

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Total return prices for a given security, specified as an `NUMOBS`-by-`NASSETS + 1` matrix where Column 1 contains MATLAB® serial date numbers. The remaining columns contain total return price data.

If you specify `TotalReturnPrices` as a table, the first column of the table represents the dates (as either serial date numbers, date character vectors, or datetime arrays) while the other columns represent the returns data. If a table is used, `TotalReturn` is returned as a table.

### 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 of `TotalReturn`, and the most recent date in the last row of `TotalReturn`.

Data Types: `double` | `table`

(Optional) Periodicity flag used to compute total returns, specified as one of the following values:

• `'d'` = daily values (default)

• `'w'` = weekly values

• `'m'` = monthly values

• n = rolling return periodic values, where n is an integer

Data Types: `char` | `double`

## Output Arguments

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Total return values, returned as a `P`-by-`N` matrix or table consisting of either Dates in column 1 and daily return values in the remaining columns or period-end dates in column 1 and monthly return values in the remaining columns. The format of `TotalReturn` matches the format of the input `TotalReturnPrices`.