annualized rate of return!

3 views (last 30 days)
Mate 2u
Mate 2u on 31 May 2012
Hi, I have back-tested a strategy and the total return after 285 weeks is 24%. How would I annualize this? I would like the annualized rate of return in MATLAB.
Any help would be useful.

Accepted Answer

Walter Roberson
Walter Roberson on 31 May 2012
r^285 = 1.24 so log(r^285) = log(1.24) so 285*log(r) = log(1.24) so log(r) = log(1.24) / 285 so r = exp( log(1.24) / 285) is the weekly interest rate.

More Answers (1)

Javier
Javier on 5 Sep 2012
Step 1 Time estimation
Years in 285 weeks....one year has 52 weeks. Then Y=285/52=5.48.
Step 2 Calculation interest rate
(1+x)^(5.48)-1=0.24, what you have to do is find x. In this case x is annual. The result is: x=0.04.
Step 3 "Prove"
If you have a 4% annual return during 5.48 years, the return is: (1.04)^(5.48)-1 = 0.24.
Hope it helps. Please grade if solve your question.
Javier

Categories

Find more on Financial Toolbox in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!