Calculate 10y returns out of monthly data

hey guys,

i have monthly returns (1mil. simulations). Now i want to calculate corresponding 10 year returns. for example vextor x: 0.05 0.02 0.03 0.4 -0.21 ...

what matlab should do now is to calculate: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(121))*(1+r(122))*...(1+r(240)))-1 and so on...

thx for your help

Answer 1

[Andrei Bobrov]

out = prod(1 + reshape(x,120,[])) - 1;

or

out = accumarray(ceil((1:numel(x))'/120),x(:),[],@(x)prod(1+x)-1);

Answer 2

[Roger Wohlwend]

y = exp(filter(ones(120,1),1,log(1+r)))-1;
y = y(120:end);

[Markus]

thx thats what i wanted, but now it calculates: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(2))*(1+r(3))*...(1+r(121)))-1 and so on. what i wanted was: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(121))*(1+r(122))*...(1+r(240)))-1 and so on..

[Roger Wohlwend]

Oh, my mistake.

y = exp(filter(ones(120,1),1,log(1+r)))-1;
y = y(120:120:end);