How to calculate annual compounding returns for firms with different fiscal year end based on monthly return data

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Occasional Contributor
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How to calculate annual compounding returns for firms with different fiscal year end based on monthly return data

IDYearMonthReturnfiscal yearfiscal_year_end_month
101201140.0520105
101201150.0420105
101201160.04320115
....
201201110.035201112
....
2012012120.01201212
....
202201110.0320116
202201120.0220116
....
202201160.0520116
202201170.0720126
....

I have returns for multiple firms with different fiscal year endings in different industry

Q1, I want to compute compounding annual return for each firm.

Annual compounding return= (1+Ret1)*(1+Ret2)*...*(Ret12)

The problem here is that I want the fiscal year annual return.

For firms with fiscal year ending on Jan 31 -May 31:

fiscal year 2010 return period should be Feb 1, 2010 to Jan 31, 2011(firms with fiscal year ending at Jan 31)

fiscal year 2010 return period should be June 1, 2010 to May 31, 2011(firms with fiscal year ending at may 31)


For firms with fiscal year ending on June 31 -Dec. 31 :

fiscal year 2010 return period should be July 1, 2009 to June 31, 2010 (firms with fiscal year ending at June 31)

fiscal year 2010 return period should be Jan 1, 2010 to Dec 31, 2010 (firms with fiscal year ending at Dec 31)

For example, for a firm with fiscal year ending at May 31, the fiscal year 2011 return:

the annual return= (1+Ret_2011_June)* (1+Ret_2011_July)*.....*  (1+Ret_2012_may)

I know how to what to do for the calender year ending at Dec 31. However, I don't know what to do for the firms with different fiscal year endings.

Occasional Contributor
Posts: 10

Re: How to calculate annual compounding returns for firms with different fiscal year end based on monthly return data

firm_IDyearmonthreturnfiscal_yearfiscal_year_ending_monthIndustry
101201110.0520111201
.....
102201110.032010501
...
202201110.0520111201
...
204201110.052011802

A following question is about the industry mean of annual return, excluding the observation  itself.

For example, for firm_id :102.

Here, the industry mean of the annual 2010 return  should be (Return firm101 +Return firm 202)/2 . However, the time period for both the the returns should be consistent with the firm_id :102 from (June 2010 to May 2011)

Any suggestions will be appreciated!

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