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by jmk » Fri May 03, 2013 10:26 pm
I'm downloading some of the FRED bond databases at e.g.
http://research.stlouisfed.org/fred2/se ... ?cid=32413They offer the following ways of parsing the index data. Which do I want to use to generate the standard annualized returns? Annual  Percent Change?
thanks.
Change
x(t)  x(t1)
Change from Year Ago
x(t)  x(tn_obs_per_yr)
Percent Change
((x(t)/x(t1))  1) * 100
Percent Change from Year Ago
((x(t)/x(tn_obs_per_yr))  1) * 100
Compounded Annual Rate of Change
(((x(t)/x(t1)) ** (n_obs_per_yr))  1) * 100
Continuously Compounded Rate of Change
(ln(x(t))  ln(x(t1))) * 100
Continuously Compounded Annual Rate of Change
((ln(x(t))  ln(x(t1))) * 100) * n_obs_per_yr
Natural Log
ln(x(t))

jmk

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