On Sun, Oct 30, 2011 at 12:36 PM, Ulrich Staudinger <
ustaudinger@activequant.org> wrote:

> Hi Martin, hi Garrett,
>
> just for completion ... why did you not simply do a runsum on the
> difference of the logarithmics [1].
>
>
You said you have monthly data, so why not simply doing:
>
>
Because, as I understood it, he wanted arithmetic returns, not log returns.


> oneMonthRet = diff(log(yourMonthlyData))
> twoMonthRet = runSum(oneMonthRet, n=2)
> threeMonthRet = runSum(oneMonthRet, n=3)
>
>
> Regards,
> Ulrich
>
>
> References:
>
> [1] http://oakroadsystems.com/math/loglaws.htm#Multiply
>
>
>
Garrett

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