What time series frequencies are permitted for CCI risk calculation?
The time series used for risk calculation must be based on either weekly or monthly returns. Weekly data uses a frequency of m = 52 with T = 520 observations, while monthly data uses m = 12 with T = 120 observations. If the investment, or its underlying or reference assets, are priced less frequently than once per month, the consumer composite investment must be assigned a risk and return score of at least 9.