Modern Finance ReturnFrequency

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ReturnFrequency

Lists how many observations make a year: annual, quarterly, monthly, weekly or daily.

Syntax

RETURN_ANNUAL  RETURN_QUARTERLY  RETURN_MONTHLY  RETURN_WEEKLY  RETURN_DAILY_252  RETURN_DAILY_365

Examples

#import "std/money"
using money

'' How many observations make a year.  BOTH DAILY FORMS ARE OFFERED
'' because the choice is a convention, not a fact: 252 is trading days,
'' 365 is calendar days, and a Sharpe ratio computed one way is not
'' comparable with one computed the other.
print RETURN_MONTHLY                     '' 12
print RETURN_DAILY_252                   '' 252

'' Annualizing is GEOMETRIC, so 1% a month is 12.68% a year, not 12%.
print AnnualizeReturn( 0.01, RETURN_MONTHLY )            '' 0.1268250301319697
print AnnualizeReturn( 0.01, RETURN_ANNUAL )             '' 0.01

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Library: Finance
Category: Finance
Documented under: Nothing Becomes A Keyword
Source: pkg/std/money/finport.tiko in the tiko repository.