Geomean on returns with negative values?

Hi, i need to calculate the geometric mean of financial returns (for a Markowtiz example), but obviously it won't work cause my data contains negative numbers. How can i do? Is there another function or i have to do it manually? Thanks

Answer 1

[dpb]

Use

GR=100*(prod(1+R/100)^(1/numel(R))-1);

where R is the rate of return for the period.

Example:

>> R=[9 1 2 3 -1];                            % sample rate of returns, %
>> GR=100*(prod(1+R/100)^(1/numel(R))-1)      % geometric rate of return
GR =
    2.7458

[riccardo manfredi]

thanks man that's how i've done it, but could this method return some type of error? or the result is legit?

[dpb]

That's the definition for economic returns..."you can look it up" :)

<Geometric Mean Definition>

[riccardo manfredi]

perfect, thanks again