Returns used to compute the alpha and the beta
Hello again, Quoting julien cuisinier <j_cuisinier at hotmail.com>:
(arithmetic & geometric) >> the closest to the real return (as (Price(252)/Price(1)-1, so what an investor would actually get over a year) I get is by taking geometric annualization of the log returns...geometric annualization of arithmetic returns still yields close approximation but arithmetic annualization got it off the chart...
Just to be sure, let's use the following article as a base: http://www.riskglossary.com/link/return.htm For time aggregation, they use n*z for logr. What you are suggesting is to use (1+z)^n-1 instead of n*z. Am I right? Thanks for your answer.