Aggregating Daily Returns into Wednesday-to-Wednesday Returns

Summary

The document asks how to construct weekly returns from daily price data using Wednesday closing prices. When Wednesday has no valid trading price, the question proposes using the next available valid closing price. It refers to log returns between selected weekly prices, making the choice of observation dates important.

The answer gives a compounding method: calculate each daily simple return over the interval and multiply the gross returns, then subtract one. This produces the cumulative simple return across the selected period, including the effect of daily compounding. The reply does not provide implementation steps for Stata or Excel, and it does not clarify how to handle missing prices beyond the question’s proposed next-valid-date rule. Its formula is for simple returns; users should keep that convention distinct from calculating a log return from the weekly endpoint prices.

Key ideas

• Weekly observations can be selected from Wednesday closes, with a stated fallback to the next valid price when Wednesday is inactive.
• The answer compounds daily simple returns by multiplying their gross returns and subtracting one.
• The compounding formula yields a simple cumulative return, while the question describes log returns.
• The document gives no software-specific instructions for Stata or Excel.

Tags

# How to get get weekly returns from daily data


# How to get get weekly returns from daily data












Good day

I would like to get weekly returns data from daily data , I want to use the Wednesday-to-Wednesday approach – the returns (rt) are computed from the Wednesday closing prices Pt , i.e., rt = ln(Pt/Pt-1). In the cases in which Wednesdays were not active trading days, the closing values from the next date with valid prices from the sequence of the nearest days is used: I'm Stata user as well as an excel user

Any hint will be highly appreciated!! thaks!!

## Answer by Andrew (score 2)

https://quant.stackexchange.com/a/27548

You can compute daily gross returns and then simply multiply them: $R_w=\prod_i \left(1+R_i \right)-1$, where $R_i=P_{close,i}/P_{close,i-1}-1$

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.