log return vs simple return

An easy mistake with returns

November 5, 2012 | Pat

When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix of returns over time to compute the (long-term) portfolio return. “A tale of two returns” tells us that aggregation over time ...
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Returns with negative net asset values

July 30, 2012 | Pat

How are returns calculated when net asset value goes negative? Previously In “A tale of two returns” we highlighted the similarities and differences of log returns versus simple returns. Positive valuation We create — in R — an example of net asset value at four times: __ nav1 nav1 … Continue reading →
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