Calculating Weekly Returns from Daily Time Series of Prices

问题

I want to calculate weekly returns of a mutual fund from a time series of daily prices. My data looks like this:

A        B      C        D        E
DATE     WEEK   W.DAY    MF.PRICE WEEKLY RETURN
02/01/12    1    1       2,7587
03/01/12    1    2       2,7667
04/01/12    1    3       2,7892
05/01/12    1    4       2,7666
06/01/12    1    5       2,7391    -0,007
09/01/12    2    1       2,7288
10/01/12    2    2       2,6707
11/01/12    2    3       2,7044
12/01/12    2    4       2,7183
13/01/12    2    5       2,7619    0,012
16/01/12    3    1       2,7470
17/01/12    3    2       2,7878
18/01/12    3    3       2,8156
19/01/12    3    4       2,8310
20/01/12    3    5       2,8760    0,047

The date is (dd/mm/yy) format and "," is decimal separator. This would be done by using this formula: (Price for last weekday - Price for first weekday)/(Price for first weekday). For example the return for the first week is (2,7391 - 2,7587)/2,7587 = -0,007 and for the second is (2,7619 - 2,7288)/2,7288 = 0,012.

The problem is that the list goes on for a year, and some weeks have less than five working days due to holidays or other reasons. So I can't simply copy and paste the formula above. I added the extra two columns for week number and week day using WEEKNUM and WEEKDAY functions, thought it might help. I want to automate this with a formula or using VBA and hoping to get a table like this:

WEEK    RETURN
 1     -0,007
 2      0,012
 3      0,047
.       
.       
.

As I said some weeks have less than five weekdays, some start with weekday 2 or end with weekday 3 etc. due to holidays or other reasons. So I'm thinking of a way to tell excel to "find the prices that correspond to the max and min weekday of each week and apply the formula (Price for last weekday - Price for first weekday)/(Price for first weekday)".

Sorry for the long post, I tried to be be as clear as possible, I would appreciate any help! (I have 5 separate worksheets for consecutive years, each with daily prices of 20 mutual funds)

回答1:

To do it in one formula:

=(INDEX(D:D,AGGREGATE(15,6,ROW($D$2:$D$16)/(($C$2:$C$16=AGGREGATE(14,6,$C$2:$C$16/($B$2:$B$16=G2),1))*($B$2:$B$16=G2)),1))-INDEX(D:D,MATCH(G2,B:B,0)))/INDEX(D:D,MATCH(G2,B:B,0))

You may need to change all the , to ; per your local settings.

回答2:

I would solve it using some lookup formulas to get the values for each week and then do a simple calculation for each week.

Resulting table:

H   I           J           K           L           M     
    first       last        first val   last val    return
1   02.01.2012  06.01.2012  2,7587      2,7391      -0,007
2   09.01.2012  13.01.2012  2,7288      2,7619      0,012
3   16.01.2012  20.01.2012  2,747       2,876       0,047

Formula in column I: