Analyzing Returns on a 10-Asset Portfolio
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I present closing prices on 10 companies in monthly, weekly, and daily frequencies. These are given on mthly_p, wkly_p, and dly_p, respectively, for:
I also give the benchmark, or market index, value on the S&P 500.
By closing, I mean the last price recorded for a specific time (for example, end of day closing price). I include a fourth sheet, mthly_r, on which I compute monthly returns using the monthly closing prices. Notice that I compute the monthly return as the natural logarithm of the ratio of the current over the previous month's closing price, . Recall that with continuous compounding, . Therefore, , which is equal to . You can do it this way or, if you prefer, you can calculate month-over-month percentage changes, ...
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