(some) corrections attempted

On Sat, 28 Jul 2007, Brian Schott wrote:

+ Devon,
+
+       By "returns" can I assume you mean something like
+ financial returns where for example if you had the following
+ value figures at the end of various months, then your
+ returns would be calculated as suggested?
+
+ month value   mnth return             qtr return
+
+ 0     100
+ 1     110     10%100                  (unknown)
+ 2     121     11%100                  (unknown)

  2     121     11%110                  (unknown)

+ 3     130      9%100                  30%100

  3     130      9%121=0.07438                  30%100

+ 4     139      9%100                  (unknown)

 4      139      9%13=0.069230                  (unknown)
+
+       If my assumption above is correct, is the correct
+ correlation for that one set of figures the correlation
+ between the following pairs and the pairs would be expanded
+ by three pairs for each additional set of quarters of data
+ you have?
+
+ 0.10 0.11 0.09%12

  0.10 0.10 0.07438%12

+ 0.30 0.30 0.30% 4
+
+       Or maybe the following pairs are better, but the
+ important point is that each quarterly aligns with 3 monthly
+ figures, and it is best that the three pieces be kept
+ pristine, imo.
+
+ 0.11 0.09 0.09%12

  0.10 0.07438 0.069230%12

+ 0.30 0.30 0.30% 4
+
+       Otoh, if the quarterly figures are known and
+ calculated at the end of each month, then they each would be
+ used with a different month's figure.
+
+       Maybe I have this all wrong. Please advise.
+
+ (B=)
+
+ Brian Schott
+
----------------------------------------------------------------------
For information about J forums see http://www.jsoftware.com/forums.htm

Reply via email to