MATLAB Answers

Repeat a cumulative sum in a matrix

3 views (last 30 days)
Hello,
I have matrix of dimensions 2784x252 which represents monthly returns. I am trying to put them into annual returns which would return a matrix of 2784x21 (21 x 12 = 252). To do that I need to sum for each row, 12 column at a time. I've tried to use the function cumsum but it won't work because it returns an array with only one column which isn't what I need to do.
Since I need to repeat the sum of 12 column 21 times which is the number of years I have, I thought using a loop could help but I can't find a way that it woulld work.
Thanks for the help,
Best regards,
Frank

Accepted Answer

Scott MacKenzie
Scott MacKenzie on 16 Aug 2021
Edited: Scott MacKenzie on 16 Aug 2021
Here's a way to do this without a loop:
% test data (monthly returns for many investments for 252 months)
M = rand(2784,252);
% reorganize with one row per month
M = M';
% create monthly datetime vector for 21 years (adjust as needed)
d2 = 2020; % finishing year
d1 = d2 - 21; % going back 21 years
dt = datetime(d1,1,1):calmonths(1):datetime(d2-1,12,1);
% add datetime vector to data and organize in timetable
T = array2table(M);
T.Time = dt';
TT1 = table2timetable(T);
% compute yearly returns for investments (sum of monthly returns)
TT2 = retime(TT1, 'yearly', 'sum');
% plot yearly returns for 1st investment
plot(TT2.Time, TT2.M1);
xlabel('Year'); ylabel('Return');
  3 Comments
Francis Chabot
Francis Chabot on 16 Aug 2021
Exactly what I needed!
Thanks

Sign in to comment.

More Answers (1)

the cyclist
the cyclist on 16 Aug 2021
Edited: the cyclist on 16 Aug 2021
% Made-up data
M = rand(2784,252);
% Reshape to put each year in a "slice" in the 3rd dimension
M2 = reshape(M,2784,12,[]);
% Show size of M2, just to illustrate
size(M2)
ans = 1×3
2784 12 21
% Get annual return by summing the monthly returns
% (That's not really accurate, though, right?
% Constant 1% monthly return will compound to greater than 12% annual return.)
A2 = sum(M2,2);
% Show size of A2, just to illustrate
size(A2)
ans = 1×3
2784 1 21
% Reshape again, to get back to a 2D array
A = reshape(A2,2784,[]);
% Show size again
size(A)
ans = 1×2
2784 21
  1 Comment
Francis Chabot
Francis Chabot on 16 Aug 2021
Worked as well and is shorter which is even better!
Thank you

Sign in to comment.

Products


Release

R2020b

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!