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  • Difference between Simple and Log Returns

    Загружено:

    Khushboo Raj
    3 просмотров2 страницы
    Simple returns are not time additive but provide an aggregate portfolio return, while log returns are time additive but do not directly provide a weighted portfolio return. The document provides an example comparing simple and log returns for a portfolio over 5 periods, showing that simple returns yield a higher weighted portfolio return that is not time additive, while log returns provide a lower but time additive weighted return.

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    Оригинальное название

    Simple and Log Return

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    Simple returns are not time additive but provide an aggregate portfolio return, while log returns are time additive but do not directly provide a weighted portfolio return. The document provides an example comparing simple and log returns for a portfolio over 5 periods, showing that simple returns yield a higher weighted portfolio return that is not time additive, while log returns provide a lower but time additive weighted return.

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    © All Rights Reserved
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    3 просмотров2 страницы

    Difference between Simple and Log Returns

    Загружено:

    Khushboo Raj
    Simple returns are not time additive but provide an aggregate portfolio return, while log returns are time additive but do not directly provide a weighted portfolio return. The document provides an example comparing simple and log returns for a portfolio over 5 periods, showing that simple returns yield a higher weighted portfolio return that is not time additive, while log returns provide a lower but time additive weighted return.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 2

    Difference between Simple return and Log Return

    S.NO Stocks P1 P2 P3 P4 P5
    1 Tata Steel 326 346 368 425 468
    2 Titan 200 220 242 258 285
    3 ICICI 320 330 342 350 380
    4 SBI 220 225 275 310 362
    5 TVS 245 252 265 278 320
    Portfolio 1311 1373 1492 1621 1815

    Simple Returns Not time additive but aggregate portfolio return

    Asset Weight P2 P3 P4 P5 R(5/0) Add


    Tata steel 25% 6.13% 6.36% 15.49% 10.12% 43.56% 38.10%
    Titan 15% 10.00% 10.00% 6.61% 10.47% 42.50% 37.08%
    ICICI 24% 3.13% 3.64% 2.34% 8.57% 18.75% 17.67%
    SBI 17% 2.27% 22.22% 12.73% 16.77% 64.55% 54.00%
    TVS 19% 2.86% 5.16% 4.91% 15.11% 30.61% 28.03%
    Portfolio 100% 4.73% 8.67% 8.65% 11.97% 38.44% 34.01%
    Weighted Return 4.73% 8.69% 8.48% 11.84% 38.44% 33.74%

    Log return
    Asset Weight P2 P3 P4 P5 R(5/0) Add
    Tata steel 25% 5.95% 6.16% 14.40% 9.64% 36.16% 36.16%
    Titan 15% 9.53% 9.53% 6.40% 9.95% 35.42% 35.42%
    ICICI 24% 3.08% 3.57% 2.31% 8.22% 17.19% 17.19%
    SBI 17% 2.25% 20.07% 11.98% 15.51% 49.80% 49.80%
    TVS 19% 2.82% 5.03% 4.79% 14.07% 26.71% 26.71%
    Portfolio 100% 4.62% 8.31% 8.29% 11.30% 32.53% 32.53%
    Weighted Return 4.59% 8.17% 8.03% 11.15% 31.94% 31.94%
    Basic Concept
    Log Return: Time additive but does not aggregate portfolio
    weighted return
    Simple Return: Not time additive but aggregates portfolio
    return

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