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Fund volatility with mixed frequency returns
I have to calculate a bunch of risk, return and correlation statistics for a fund which has 5 years of weekly returns but the 1st 4 months of returns history only have a monthly frequency and the 1st 4 months contribute around 1/3 of the total performance.
Does anyone have any ideas how to incorporate the 4 monthly returns into the volatility calculation so that I try to calculate a since inception annualised volatility figure?