Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I have daily log return from 01.01.2011 to 10.28.2011 and I'd like to compare the total return of that 10 months period (which is of -7.093%) to annual log returns of previous years. I know it's really a simple question but I want to be sure not to make any mistake. Thanks in advance.

share|improve this question

closed as off topic by Bob Jansen, 楊祝昇, chrisaycock Feb 28 '12 at 17:39

Questions on Quantitative Finance Stack Exchange are expected to relate to quantitative finance within the scope defined by the community. Consider editing the question or leaving comments for improvement if you believe the question can be reworded to fit within the scope. Read more about reopening questions here.If this question can be reworded to fit the rules in the help center, please edit the question.

We tend to focus on professionals in quantitative finance. Please see the FAQ. – chrisaycock Feb 28 '12 at 17:40

Log returns are additive. Just add the daily returns together. If you only have one average daily return you annualize simply by multiplying with an annualization factor. Often 252 is used but it depends on your specific use case. In your case you may want to multiply by (days per year / days in 10 months period) Make sure you do not apply the same to volatility. Volatility scales with the square root of time. If you want to know why then Google for properties of Brownian motion.

share|improve this answer

Not the answer you're looking for? Browse other questions tagged or ask your own question.