geomean

kloser123 · 2013-11-19 09:05:57

Hi there,

Given N sets of values, I'm trying to figure out why averaging the returns per period across sets of values always produces a higher geomean than

first averaging the values per period across tests, then calculating period-to-period returns, and then taking the geomean of those returns.

I used the RAND function for each value as to quickly iterate different "tests".

Thank you

Last edited by kloser123 (2013-11-19 09:42:57)

bobbym · 2013-11-19 09:29:33

Hi kloser123;

Welcome to the forum. I do not see the spreadsheet.

kloser123 · 2013-11-20 01:29:10

obviously, monthly return and avg geomeans differ in some months.
But I don't know why the final geomean for the whole period is always higher.
Can you help please?
Thank you

bobbym · 2013-11-20 01:45:45

Hi;

Please provide the spreadsheet or an example.

kloser123 · 2013-11-20 02:02:16

how can I attach it?

1 year Jan    Feb    Mar Apr    May Jun    Jul    Aug Sep Oct    Nov Dec    Jan    Geomean
   $1.000    $1.285 $1.153 $815 $1.362 $905    $1.041 $859 $931 $1.027 $878 $860    $1.038
   29% -10%    -29% 67%    -34% 15%    -17% 8% 10%    -15% -2%    21%
   $1.000 $985    $1.195 $1.251 $929 $830 $1.049 $1.295 $963 $1.139 $1.173 $1.057 $1.231
   -2%    21%    5%    -26% -11%    26%    23% -26%    18% 3%    -10% 16%
$1.000 $1.153 $910    $1.187 $802 $1.235 $923    $1.308 $1.205 $806 $949 $992 $919
   15%    -21%    30% -32%    54% -25%    42% -8% -33% 18%    5% -7%

1) Avg values $1.000 $1.141 $1.086 $1.084 $1.031 $990 $1.004 $1.154 $1.033 $991 $1.000 $970 $1.063
Monthly return 1,14 0,95 1,00 0,95 0,96 1,01 1,15 0,90 0,96 1,01 0,97 1,10 0,508% = 0,508%
CAGR formula matches averaging values perfectly
2) Avg geomeans 1,14 0,97 1,02 1,03 1,03 1,05 1,16 0,92 0,98 1,02 0,98 1,10 3,097%

Geomean of averaged monthly geomeans - geomean of averaged monthly values 2,589%

bobbym · 2013-11-20 02:27:57

Hi;

I am sorry I cannot read that, can you take a screenshot?

This is what your post looks like on my browser.

kloser123 · 2013-11-20 13:30:18

how can I paste it?

bobbym · 2013-11-20 13:48:01

You would need a screen capture. or you can post it in small pieces.

kloser123 · 2013-11-20 14:22:03

1 year Jan    Feb    Mar    Apr May Geomean
   $1.000    $1.144 $1.074 $994 $962
   14% -6%    -7% -3%
$1.000 $1.159 $1.158 $944 $1.036
   16%    0%    -18% 10%
$1.000 $1.112 $914    $1.217 $1.214
   11% -18%    33% 0%

Avg values $1.000 $1.138 $1.049 $1.052 $1.071
Monthly return 1,14 0,92 1,00 1,02 1,722% = 1,722%
CAGR formula matches averaging values perfectly
Avg geomeans 1,14 0,92 1,02 1,02 2,292%

Geomean of averaged monthly geomeans - geomean of averaged monthly values 0,570%

bobbym · 2013-11-20 14:38:05

Hi;

The picture below is what I am seeing. I can not make any sense out of it. Maybe someone else can, sorry for the bother.

Math Is Fun Forum

#1 2013-11-19 09:05:57

geomean

#2 2013-11-19 09:29:33

Re: geomean

#3 2013-11-20 01:29:10

Re: geomean

#4 2013-11-20 01:45:45

Re: geomean

#5 2013-11-20 02:02:16

Re: geomean

#6 2013-11-20 02:27:57

Re: geomean

#7 2013-11-20 13:30:18

Re: geomean

#8 2013-11-20 13:48:01

Re: geomean

#9 2013-11-20 14:22:03

Re: geomean

#10 2013-11-20 14:38:05

Re: geomean

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