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Are you sure the return for two years is 0.7214? It should be 0.3422 per year if you are using 31/12/2011, and 0.3416 if you are using 01/01/2012 as the end date. Assuming the last number (because it makes for two full years, therefore easier to calculate), yes, there is a formula to derive it from the return of the individual years. It's the geometric ...


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It depends on what makes more economic sense: If you are calculating CAGR for FX (which is traded effectively 24/7) strategy returns for instance, it would seem fair to use 365.25 calendar days. If you are calculating CAGR for internal reporting of trading strategy returns on a product with 5 market sessions per week, it would seem fair to use 252 calendar ...


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You can use both standards, but when you apply or compare this rate the standards must be equal, and it should be noted which convention you used. Note that 300/365 yeardays would in percentage be equal to 205/250 tradingdays, so its really just a convention that would make no difference in actual time.


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You can weight the returns and use them in calculations as shown below. From this site:- http://disc.sci.gsfc.nasa.gov/giovanni/additional/users-manual/G3_operation_time_series_stats.shtml The weighted mean is and the weighted standard deviation is So, making up some annualised returns for time spans, 1 yr, 3 yrs, 5 yrs & 10 yrs: r = {0.01, ...


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In your question you do not provide any reference. I believe that we are in front of two possibilities: annualized linear returns and Compound Annual Growth Rate (CAGR). If compounding is not mentioned, I would assume annualized linear returns. $n$-years Annualized linear returns $n$ = number of years $ n * r_A = r_* $, where $r_*$ is the return over the ...



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