Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management
GARP Risk Professional, pp. 49-51, April 2010
5 Pages Posted: 9 Apr 2010 Last revised: 15 Nov 2010
Date Written: May 1, 2010
Linear and compounded returns are at times used interchangeably: this practice has dangerous repercussions on risk and portfolio management.
JEL Classification: C1, G11
Suggested Citation: Suggested Citation