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Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management


Attilio Meucci


SYMMYS; Kepos Capital
May 1, 2010

GARP Risk Professional, pp. 49-51, April 2010

Abstract:     
Linear and compounded returns are at times used interchangeably: this practice has dangerous repercussions on risk and portfolio management.

Number of Pages in PDF File: 5

JEL Classification: C1, G11

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Date posted: April 9, 2010 ; Last revised: November 15, 2010

Suggested Citation

Meucci, Attilio, Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management (May 1, 2010). GARP Risk Professional, pp. 49-51, April 2010 . Available at SSRN: http://ssrn.com/abstract=1586656

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
Kepos Capital ( email )
Feedback to SSRN (Beta)


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