Aggregating Returns
Overview
Return aggregation is the process of taking a set of returns
{% r_1,r_2,...,r_n %}
and aggregating them into a single return number.
The method of aggregation depends on the source of the list of returns.
- Single Portfolio Returns
- returns from a single portfolio are measured returns from different time periods. Aggregating the returns is simply an
exercise of linking the returns.
- Multiple Portolios - performance aggregate of multiple portfolios is useful for
companies that manange multiple portfolios (such as retirement portfolios) in order to quote an average return
or some other aggregated performance measure.
