If I have daily returns of my portfolio over a period (let's say January to December), how do I calculate the total return over the period or per month?
What I did now is the following:
Calculate the cumulative return series as follows:
cumprod(1+rt)
: this basically boils down to:end of day 1: daily return 5%, cumulative return: 1 * (1 + 5%) = 1.05
end of day 2: daily return 3%, cumulative return: 1.05 * (1 + 3%) = 1.0815 ... etc
To calculate the return over the whole period (Jan to Dec), I take the value of the cumulative return at the end of the period and calculate the procentual change, e.g.:
end of December: cumulative return: 40
then total return over period = (40-1)/1 * 100 = 39%
Also, I were to calculate the return in February, I take:
end of February: cumulative return: 20
begin of February: cumulative return: 10
then total return in February = (20-10)/10 * 100 = 100%