Annualizing Daily Returns - Mcube Investment （按年计算每日Mcube投资回报）.pdfVIP

Annualizing Daily Returns – A Twist and a Solution By Arun S. Muralidhari Arun Muralidhar is a Managing Director at FX Concepts, Inc. – a currency management firm, and Chairman of Mcube Investment Technologies, LLC. He is also the author of “Innovations in Pension Fund Management” and “Rethinking Pension Reform” with Prof. Franco Modigliani. He has developed a risk-adjusted performance measure, published in the Financial Analysts Journal and Journal of Portfolio Management that is ideally suited to institutional investors. He has also published articles in the Journal of Performance Measurement on currency management performance issues and a performance measure that allows for comparisons across managers with diverse data histories. Abstract Annualizing daily returns poses a couple of problems to institutional investors, investment managers and custodians. The issue at hand is that the number of days in a year are not only variable, but data can be provided on either a calendar year or a business day basis further compounding the problem. This note proposes a simple variation that needs to be made to ensure consistency in performance measurement by industry participants. Introduction The investment management industry has gradually drifted towards examining annualized returns over long data histories as a key summary statistic to evaluate the performance of either an investment manager, mutual fund, or asset class. Those well versed in performance measurement have come to terms with basic equations to take long series of data and distil them into annualized returns. In short, the annualized return A is defined as A = {(1+r )}T/t i Where t is the number of observations (either on a daily, monthly or even quarterly basis), T is the factor for conve