Calculation of monthly returns

Hello,

I want to calculate monthly returns for single stocks. The input consists of a matrix which contains the single daily stocks values (stocks-> columns; daily values -> rows) and a vector which contains the single dates.

I want to calculate the return between two stock values if their month differ. So my loops log in the start value, which is the first value of each input and then search in the date vector for the first date which has a different month than the one which is logged in. Between those two values (the corresponding to the dates) the return should be calculated. After this the latest value, so the one which was the end value for previous return calculation should be the new start value...

My function gives me as output just the predefined matrix of zeros..

I don't think that my code has any big faults, but I'm new at MATLAB and therefore do not know if I made any syntax mistakes....

This is my code: if true

%Code

function [ Returns ] = Return_calc_month( Stock_Prices, Dates_daily )

% Calculation of monthly returns

% calculating monthly returns by checking if month of date differs from

% following date

% Input-matrix, size of matrix

    A = size (Stock_Prices);

    r=A(1,1); %rows input

    b=floor((r/20)+20); %rows output

    c=A(1,2); %columns = number of stocks

    Returns=zeros(b,c);

% writer for output matrix

    l=1;

% reader index

    h=0;

    %columns
    for i=1:c
        %rows of input matrix
        for j=1:r-1

            h=h+j;
            %counter till month change 
            for k=1:31
                if h+k<=j && Dates_daily(h,2)~= Dates_daily(h+k,2)
                    %calculate monthly return
                    Returns(l,i)=(Stock_Prices(h+k,i)/Stock_Prices(h,i))-1;
                    %increment writer by one 
                    l=l+1;
                    %
                    h=h+k;
                    %set current month end as new beginning 
                end
            end

        end
    end

end

end

Please help me :)

Thanks in advance! Tobi

Answer 1

[Iain]

Your if statement condition looks hinky.

"h+k<=j" is ALWAYS false, because you've coded h to ALWAYS be higher or equal to j and for k to always be greater than one.

[Tobi]

Hi lain,

thank you!

So it was a was stupid mistake.. I change the code a bid and now it works more than before! But only the returns for the first stock are calculated.. It seems that the first loop (i) is ignored..

if true
  % code
function [ Returns ] = Return_calc_month( Stock_Prices, Dates_daily )
%Calculation of monthly returns
% calculating monthly returns by checking if month of date differs from
% following date
% Input-matrix, size of matrix
  A = size (Stock_Prices);
  r=A(1,1);%rows input
  b=floor((r/20)+20);%rows output
  c=A(1,2);%columns = number of stocks

    Returns=zeros(b,c);

    Dates = datevec(Dates_daily);

 % writer for output matrix   
    l=1;
 % reader index
    h=0;

    %columns
    for i=1:c
        %rows of input matrix
        for j=1:r-1

            h=h+j;
            %counter till month change 
            for k=1:31
                if h+k<=r-1 && Dates(h,2)~= Dates(h+k,2)
                    %calculate monthly return
                    Returns(l,i)=(Stock_Prices(h+k,i)/Stock_Prices(h,i))-1;
                    %increment writer by one 
                    l=l+1;
                    %
                    h=h+k;
                    %set current month end as new beginning 
                end
            end

        end
    end

 end

end

Can you help me once again?

Thank you very much!

[Iain]

Its the same problem. - That if condition is hinky, and looks like it will stay so if you keep using "h" in that way. Why are you setting h = h + j?

Answer 2

[Tobi]

Hi lain,

thank you!

So it was a was stupid mistake.. I change the code a bid and now it works more than before! But only the returns for the first stock are calculated.. It seems that the first loop (i) is ignored..

if true
  % code
function [ Returns ] = Return_calc_month( Stock_Prices, Dates_daily )
%Calculation of monthly returns
% calculating monthly returns by checking if month of date differs from
% following date
% Input-matrix, size of matrix
  A = size (Stock_Prices);
  r=A(1,1);%rows input
  b=floor((r/20)+20);%rows output
  c=A(1,2);%columns = number of stocks

    Returns=zeros(b,c);

    Dates = datevec(Dates_daily);

   % writer for output matrix 
    l=1;
   % reader index
    h=0;

    %columns
    for i=1:c
        %rows of input matrix
        for j=1:r-1

            h=h+j;
            %counter till month change 
            for k=1:31
                if h+k<=r-1 && Dates(h,2)~= Dates(h+k,2)
                    %calculate monthly return
                    Returns(l,i)=(Stock_Prices(h+k,i)/Stock_Prices(h,i))-1;
                    %increment writer by one 
                    l=l+1;
                    %
                    h=h+k;
                    %set current month end as new beginning 
                end
            end

        end
    end

 end

end

Can you help me once again?

Thank you very much!

[Iain]

Its the same problem. - That if condition is hinky, and looks like it will stay so if you keep using "h" in that way. Why are you setting h = h + j?