cumprod 11 period return,and require nan number in no more than 2.

Hello,

I am calculate the momentun return for 16383 stocks. My data is 611*16383. I have those stock 611 month return. some stocks missing the monthly return.

I try to calculat those stocks 12 month momentum return.

 for i = 12;611
    idx = returndata(i-11:i-1,:);
    A= cumprod(1+idx)
    momreturn(i-11,:)=A(end,:)
end

it requied a minimum of nine available monthly returns durning the 11-month measurement. otherwise, the momreturn data are considered missing.

how should i make sure prior 11 month return at least 9 avaliable data?

for example: when calculat a stock t=200 momentum return,if the returndata of this stock durning t=189 to t=199 only have 5 available data, the momentum of this stock in t=200 should be nan.

thanks for your time XD

[jeffrey francis]

why is cumprod used exactly??

Answer 1

[Ganesh Regoti]

After the calculation of cumulative product use isnan function to check count of the valid data.

count = sum (isnan(A(end,: )));
if (count >2)
 %data must be missing;
else
momreturn(i-11,: ) = A(end,: );
end

Hope this helps!