I was using the mvport package (SSC) written by Alberto Dorantes. The package has meanrets program for finding geometric mean, however, its results seem to be upward biased, I cross checked it with MS EXCEL and another package gmci (SSC), this is to confirm that the meanrets has bugs, or am I missing something. See the following examples
Note that due to non-positive values, I had add option add(1) to the gmci, which later would be deducted.
:
clear
input float(Price t)
12 1
10 2
12 3
15 4
13 5
18 6
24 7
18 8
17 9
22 10
end
tsset t
gen ri=p/l.p-1
gen gr=ln(p/l.p)
. meanrets ri gr
Observations to calculate expected simple returns: 10
Expected simple returns (Geometric means):
Exp ret
ri .09984347
gr .06966811
. gmci ri gr, add(1)
Variable | Obs Geometric Mean [95% Conf. Interval]
------------+-----------------------------------------------------------
ri | 9 1.06967 0.89375 1.28021 *
gr | 9 1.04302 0.87249 1.24687 *
(*) 1 was added to the variable(s) prior to calculating the results
. sum ri gr
Variable | Obs Mean Std. Dev. Min Max
-------------+---------------------------------------------------------
ri | 9 .0951679 .244355 -.25 .3846154
gr | 9 .0673484 .2337455 -.2876821 .3254224