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Expected geometric return?


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Hi David, Nicole,

I was looking for a spreadsheet which demonstrated estimating future n-period geometric return, given E(r) and sd. I'm fairly certain I've seen this. It calculated geometric mean for n-periods with the specification:
((1+g)^2)^(n/2) = (E(r)^2 - sd^2)^(n/2)

I was curious if this had been deleted? Thanks in advance!

PS: As a follow-up question, if given a time-series of observed returns, what should E(r) be? Simple arithmetic mean?

David Harper CFA FRM

David Harper CFA FRM (test)
Staff member