Convert monthly stock returns to quarterly returns using timetable - compound returns or interest rates

Hello all,

I'm quite new to the usage of Matlab.

My problem is that I was given two datasets the one contains data quarterly while the other contains the data in a monthly interval.

The monthly data contains stock returns, so I have to calculate the quarterly data as a compounded return.

Since I haven't found a function to compound interest rates I have written one myself

function [b] =compound_returns(x)

a=1;

for j=1:length(x)
    for i=1:length(x);
        x_i=x(i)
       
        a=(a*(1+x_i));
       
    end
    
    b=a-1;
end

The data was in two different excel files so I used the readtable feature to import the data

My code looks as follows:

oecd_cons = readtable('oecd_consumption_hd', 'ReadVariableNames', true, 'VariableNamingRule', 'preserve','Sheet','import');%Qaurterly data
date_oecd = datetime(table2array(oecd_cons(:,1)),'ConvertFrom','excel');
oecd_cons = oecd_cons(:,2:21);
oecd_cons = table2timetable(oecd_cons,'RowTimes',date_oecd);
oecd_cons =retime(oecd_cons, 'quarterly', @compound_returns); %I use this function only to match the dates for syncronisation

msci_usd = readtable ('msci_usd_hd', 'ReadVariableNames', true, 'VariableNamingRule', 'preserve','Sheet', 'import1'); % monthly data
date_msci = datetime(table2array(msci_usd(:,1)),'ConvertFrom','excel');
msci_usd = msci_usd(:,2:10);
msci_usd = table2timetable(msci_usd,'RowTimes',date_msci);
msci_usd =retime(msci_usd, 'quarterly', @compound_returns); %here is the line of code where my problem occurs

data = synchronize(oecd_cons, msci_usd);

The problem is now that the results of the compounded returns are too high, it seems to me that there is a calculation error somewhere in my compounding function.

I hope someone can help me with this problem or give me a simpler solution to my problem.

Best regards

Henrik

Answer 1

[Henrik Dächer]

Found the issue with my function:

there was one loop to many

The corrected function now looks like:

function [b] =compound_returns(x)
a=1;

    for i=1:length(x);
        x_i=x(i);
       
        a=(a*(1+x_i));
       
    end
    
    b=a-1;
end