[R-SIG-Finance] returns convention

paul sorenson sf at metrak.com
Mon Oct 8 13:23:21 CEST 2007


Is it usually assumed that references to "returns" are calculated as 
diff(log(prices))?  Compared with say the simple fractional change from 
one price to the next?

For example, in PerformanceAnalytics I notice that the default value of 
CalculateReturns is diff(log(prices)).

I guess it probably doesn't matter much either way for small changes, I 
just wanted to know if there was some common convention when I see an R 
function that expects a returns vector.

cheers



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