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Math Help - Geometric linking of returns

  1. #1
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    Geometric linking of returns

    Equation below assumes equal time periods

    (1 + S1) x (1 + S2) x ... (1 + Sn) - 1

    ((1+.004) * (1+.0019) * (1+.0018)) - 1 = .007718 = .77%

    What would be the equation/formula for unequal time period returns using the equation above to get a time weighted return?

    for example:

    .004 for 10 days
    .0019 for 30 days
    .0018 for 50 days.

    Analysis period 90 days.

    Trying to time weight the individual returns within this formula or any suggestion.

    A test of any suggestion would be to enter an equal weighting for each variable with the result being .007718 = .77%; the same as the first equation where variables are defined as being weighted equally.

    Am completely new to forums and am not familiar with etiquette; however, I would expect to pay for work done correctly; just don't know procedure.
    Last edited by merrellter; December 23rd 2009 at 10:06 PM.
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  2. #2
    MHF Contributor
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    Maybe...
    ((1+.004)^{10} * (1+.0019)^{30} * (1+.0018)^{50})^{\frac{1}{10+30+50}}-1 = 0.00207754654
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  3. #3
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    Thank you, will test; test being to weight each variable equally resulting in the same answer as the initial equation; .00718.

    Appreciate your try; but does not work.
    Last edited by merrellter; December 24th 2009 at 06:43 AM.
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