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CAGR based on daily data

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Salomey CAGR based on daily data 09-09-2010, 11:45 AM
shg Re: CAGR based on daily data 09-09-2010, 11:54 AM
Salomey Re: CAGR based on daily data 09-09-2010, 02:32 PM
shg Re: CAGR based on daily data 09-09-2010, 02:59 PM
Salomey Re: CAGR based on daily data 09-10-2010, 02:44 AM
  1. #1
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    CAGR based on daily data

    Hello,

    I have encountered with a problem that I couldn't resolve.

    My goal is to calculate CAGR based on Daily data for the defined period.
    The formula for the CAGR is = (Ending equity/Starting Equity)^(1/number of years) -1.

    Because I calculate CAGR using daily data I assumed 250 days (work days) in a year and converted the days to years by changing formula to
    (Ending equity/Starting Equity)^(1/(number of days/250) -1.

    Here is the code
    =POWER(VLOOKUP(L4,B3:C45,2,FALSE)/VLOOKUP(L3,B3:C45,2,FALSE);1/(DAYS360(L3,L4)/250))-1
    (see attached file)

    The main problem is that Days360 calculate calendar days between dates, but I need to find the real dates between my Start and End period.

    Can somebody help me to find CAGR for the defined period.

    Thanks in advance.
    Attached Files Attached Files

  2. #2
    Forum Expert shg's Avatar
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    Re: CAGR based on daily data

    Perhaps =(VLOOKUP(L4,$B$3:$C$45,2,FALSE) / VLOOKUP(L3,$B$3:$C$45,2,FALSE) ) ^ (1 / (MATCH(L4, $B$3:$B$45, 0) - MATCH(L3, $B$3:$B$45, 0) + 1)) - 1

    You have a lot of redundant calculations in there. An alternative:

          -----L------ --M--- ---------------------------------------N---------------------------------------
      2   CALCULATIONS Helper Formulas                                                                       
      3   7/26/2010        13 M3: =MATCH(L3, $B$3:$B$45, 0)                                                  
      4   8/26/2010        36 M4: =MATCH(L4, $B$3:$B$45, 0)                                                  
      5                                                                                                      
      6         10.69%        L6: =INDEX($C$3:$C$45, M4) / INDEX($C$3:$C$45, M3) - 1                         
      7          -6.95                                                                                       
      8          0.42%        L8: =(INDEX(C$3:$C$45, M4) / INDEX($C$3:$C$45, M3) ) ^ (1 / (M4 - M3 + 1) ) - 1
    Last edited by shg; 09-09-2010 at 12:01 PM.
    Entia non sunt multiplicanda sine necessitate

  3. #3
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    Re: CAGR based on daily data

    Thank you for your help. Your example is really much better.
    But I'd like to ask another question. Using Match function we have found that the difference between days is 23 (36-13). But is it possible to include the first day to calculation so the actual result would be 24?

    Thank you

  4. #4
    Forum Expert shg's Avatar
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    Re: CAGR based on daily data

    That's what this does:

    =... ^ (1 / (MATCH(L4, $B$3:$B$45, 0) - MATCH(L3, $B$3:$B$45, 0) + 1)) - 1

    ... and this:

    ... ^ (1 / (M4 - M3 + 1) ) - 1

  5. #5
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    Re: CAGR based on daily data

    ooops, sorry. My inattention.
    Thanks again

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