# Questions tagged [annualized]

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### How to annualise the volatility of non-iid returns?

I have a series of monthly log-returns; let's assume the log-returns are normally distributed, but exhibit significant serial correlation. In the case of normal, i.i.d. returns, I can annualize the ...
202 views

### What is the industry standard for annualizing returns over non-contiguous time periods?

Suppose I am invested in the same fund for the first 200 days in 2013, some combination of 150 days in 2014, and the last 100 days in 2015. Further suppose that geometrically linking the daily returns ...
376 views

### Annualised Sharpe Ratio for Index vs Index Benchmarking

I am currently writing a paper about the performance characteristics of alternative energy equity indexes and am therefore comparing them to their benchmark indexes (msci world, etc). To calculate the ...
3k views

### Calculating Geometric mean

I need to annualize daily returns for about 120 firms for over a period of 10 years. I chose to calculate the geometric return because 1) it is the actual return 2) to avoid the asymmetric effect of ...
153 views

### Annualization of higher order Co-moments

I'm developing a dynamic portfolio optimization procedure based on the implementation of the Modified sharpe ratio. The mentioned ratio depends, among other factors, on the skewness and kurtosis of ...
263 views

### Annualization of coskewness and cokurtosis

I am constructing a mean-variance-skewness-kurtosis portfolio based on monthly data with a holding period of one year. Meucci describes how to annualize higher order moments in general, but not how to ...
481 views

202 views

### What does 2 Year Annualized mean compared to 1 Year Annualized

I am looking at a company's financial report and there is a table in it that lists returns over different annualized periods. It ranges from 1 year to 20 years. Would a 2 year return in this table be ...
31 views

### annualised returns and volatility for 3 month data

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 ...
42 views

### Tracking a portfolio's annualized return

Sorry for this dumb amateur question, but looking for some help. Iāve created an Excel line chart that tracks a portfolioās annualized rate of return. For example, a year ago the portfolio had an ...
83 views

### Compound 3-year returns to obtain 10-year returns: How to do?

I have 3-year returns at a monthly frequency, snippet below. How to compound the 3-year returns to obtain 10-year returns (since the cumulative product of 3 3-year return would be the 9-year return). ...
255 views

### Monte Carlo simulation based VaR: daily vs annual parameters

I am given the initial price, annualized return, and volatility of a security. I am trying to calculate annualized VaR using Monte Carlo simulation approach. To do this I will use the following ...