Annualizing Fund Returns from Daily Price History
Summary
The document presents a calculation for charting the annualized return of a fund over time. It retrieves daily closing prices for a specified fund and date range, then compares each later close with the first close to calculate cumulative return. It annualizes each result by raising the growth factor to the power of 250 divided by the number of elapsed observations, and plots the resulting series by date. The calculated dates and annualized returns are also saved to a CSV file.
The example illustrates a simple way to track how an annualized return estimate changes as a price history grows. It relies on a fixed 250 trading-day convention and uses the first available price as the comparison point. The document does not discuss validation, distributions, missing trading days, or whether this convention suits every fund or analysis horizon. It provides code but no reported performance findings or comparison with alternative annualization methods.
Key ideas
- Cumulative return is calculated by comparing each daily close with the first close in the selected history.
- Annualized return is estimated using a 250-trading-day convention and the number of observations elapsed.
- The annualized estimates are plotted over time and exported with their dates.
- The example does not address distributions, data gaps, or alternative annualization conventions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.