I am calculating value-weighted returns with monthly dividends reinvested and for some reason when I sum the daily returns some are a little bit off with monthly returns.
Is this normal?
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.
Sign up to join this communityI am calculating value-weighted returns with monthly dividends reinvested and for some reason when I sum the daily returns some are a little bit off with monthly returns.
Is this normal?
No, you should expect them to be different. For example, consider -10% and +10%. 1.1*0.9 = 0.99 -> -1% return vs 0% if you use addition.