I have a portofolio with 30 indexes and I want to calculate the annulised returns and volatility because I want to compare it with another portofolio with different number of indexes (but same time period) My data are time series with 3 month frequency from 2009-12-31 to 2020-3-31.
I know that the general formula is: $$annualised \enspace return = (1 + total \enspace returns)^N - 1$$ where $total \enspace returns$ is the last value minus the first divided by the first. $N$ is the period I want to annualised and here is my doubt.
- If I have 3 month frequency data, what is the best value for $N$?
- how to get the volatility after?