[R-SIG-Finance] Returns used to compute the alpha and the beta

[Benoit.Schmid at unige.ch]

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.