WebCab Portfolio Web Services for .NET v5.0 Demo

PerformanceEvaluation.GeometricMeanReturn Method 

Evaluates the Geometric Mean Return of the performance of a portfolio measured over several intervals.

public double GeometricMeanReturn(
   double[] returnOverEachPeriod
);

Parameters

returnOverEachPeriod
An array where the first element is the return over the first period expressed in decimal format (i.e. 1 percent = 0.01), the second term is the return over the second period expressed in decimal format (i.e. 1 percent = 0.01), and so on. The results should be expressed in decimal format.

Return Value

A double equal to the Geometric Mean Return of a portfolio.

Remarks

Applicability of the Geometric Mean Return

The geometric mean is a useful measure because it factors out the the level of return for each of the intervals for which the same level of return would be generated.

Example: Say that we know that the return over the 1st, 2nd, 3rd, 4th and 5th year to be 10%, 12%, 15%, 13% and 16% respectively. That is, we have: returnOverEachPeriod = {0.10, 0.12, 0.15, 0.13, 0.16}. Then by applying this method we find that the geometric mean return is 13.18%, or 0.1318 in decimal format. Please note that this method returns the geometric mean return in decimal format.

See Also

PerformanceEvaluation Class | Portfolio Namespace