Normalize returns

scottcolbury

New Member
Joined
Dec 6, 2005
Messages
45
Hi all,

I have 2 times series of monthly stock returns. I want to normalize the 2nd series to the first, so the cumulative return of both end up in the same spot on a chart (to show the stdev of the 2nd compared to the first). Here is my current process that does not work:
1. Calc GEOMEAN of both time series.
2. Take the difference of the GEOMEANs and add that value to each monthly value of the 2nd series.
3. Calc cumulative return.

This method gets me close, but not exact (which I need). Am I missing something or is XLS doing some sort of weird rounding? I am using 253 data points, but

Thanks
s_c
 

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