Array Formulas for Geometric Standard Deviation and Sharpe
It is not at all clear to me what you are doing, but your IF() formula
in GEOMEAN only returns a numeric value if the condition is satisfied.
Since it is difficult to take logs of non-numeric values, you probably
want to do the formula like
=(EXP(STDEV(IF(Work!$A9:$A236<B2,LN(Work!B9:B236)) ))^SQRT(12)-1)*100
I have never seen a practical use for a back transformed standard
deviation of logged data. Assuming that you want to calculate a
confidence interval, you probably want to calculate the interval on the
log scale and then exponentiate the interval endpoints, instead of
exponentiating the standard deviation estimate.
Jerry
Zeelotes wrote:
Since I got such fantastic help with the last quesiton let me try one that
I've been beating my head against the wall on for two weeks now.
I'm calculating CAGR (Compound Annual Growth Rate) of an investment using
the following formula:
=((GEOMEAN(IF(Work!$A9:$A236<B2,Work!$DS$9:$DS$236 ))^12-1)*100)
A Column: Dates
D Column: Monthly returns in multiplier format
I want to do the same thing as this with GSD using this basic formula --
that is, only do the returns based on the IF statement:
=(EXP(STDEV(LN(Work!B9:B236)))^SQRT(12)-1)*100
And Sharpe with this formula:
=(AVERAGE(B49:B276)/STDEV(B49:B276))*SQRT(12)
Any help you can offer will certainly save me a ton of pain -- head's
beginning to hurt!
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