Hello everyone!

I'm currently working on a notebook researching the returns of REITs. I've successfully managed to isolate REITs in my pipeline using the Morningstar sector code, and I have calculated monthly returns using

    percent_change_30 = Factors.Returns(inputs=[USEquityPricing.close], window_length=30, mask = our_filter)

Now I'd like to get the average monthly returns for my basket of REITs, one idea was to just get an arithmetic average return for each day. However, I'm a bit confused about how to get that and incorporate it within my pipeline.

Here is my pipeline code:

def make_pipeline():  
    #Our filter for REITs on NYSE and NASDAQ  
    group_code = asset_classification.morningstar_industry_group_code.latest  
    exchange = Fundamentals.exchange_id.latest  
    our_filter = (exchange.eq('NYS') | exchange.eq('NYSE') | exchange.eq('NAS')) & group_code.eq(10428)  
    #Industry code - We can use it later for more in-depth analysis  
    industry_code = ms.asset_classification.morningstar_industry_code.latest  
    #Close price  
    close_price = USEquityPricing.close.latest  
    #Monthly returns  
    percent_change_30 = Factors.Returns(inputs=[USEquityPricing.close], window_length=30, mask = our_filter)  
    return Pipeline(  
        columns ={  
            'close_price': close_price,  
            'group_code': group_code,  
            'exchange':exchange,  
            'monthly_returns':percent_change_30  
        },  
        #We screen for all REIT stocks  
        screen = our_filter  
    )

Any help would be greatly appreciated,

Thank you!