## Find annual | monthly cumulative (product) of returns

Category:Blog## The problem

Let’s say that we have daily stock returns. We want to convert those returns to cumulative returns for a weekly, monthly or yearly frequency.

Where cumulative returns = (1+Ri1) * (1+Ri2) * (1+R3) * … (1+R4) – 1

## Solution

First create the weekly, monthly or year identifier, and then use asrol program.

Let us use this data set [Click here to download], also shown below and find returns for different frequencies.

input id str20 D returns 1 30jun1993 .7437958 1 02jul1993 .0674011 1 06jul1993 .2668857 1 14jul1993 .0454151 1 19jul1993 .1340756 1 29jul1993 .8053644 1 13aug1993 .5861199 1 24sep1993 .3200437 1 19oct1993 .0098762 1 19oct1993 .005197 end g date = date(D, "DMY") drop D

### Find weekly cumulative returns

Let us first install asrol from ssc

ssc install asrol

Now create weekly date

gen week = wofd(date)

Now find the returns using asrol

bys id week : asrol returns, stat(product) add(1)

Note : add(1) adds 1 with each returns before multiplication and then subtracts 1 at the end.

### Find monthly cumulative returns

gen month = mofd(date) bys id month: asrol returns, stat(product) add(1)

### Find yearly cumulative returns

gen year= year(date) bys id year: asrol returns, stat(product) add(1)