Which metric to use with FRED data?

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Which metric to use with FRED data?

Postby 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=32413
They 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(t-1)

Change from Year Ago
x(t) - x(t-n_obs_per_yr)

Percent Change
((x(t)/x(t-1)) - 1) * 100


Percent Change from Year Ago
((x(t)/x(t-n_obs_per_yr)) - 1) * 100

Compounded Annual Rate of Change
(((x(t)/x(t-1)) ** (n_obs_per_yr)) - 1) * 100

Continuously Compounded Rate of Change
(ln(x(t)) - ln(x(t-1))) * 100

Continuously Compounded Annual Rate of Change
((ln(x(t)) - ln(x(t-1))) * 100) * n_obs_per_yr

Natural Log
ln(x(t))
jmk
 
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