https://github.com/snth/safa2017

SAFA 2017 Presentation
https://github.com/snth/safa2017

finance jupyter-notebook python

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SAFA 2017 Presentation

• Host: GitHub
• URL: https://github.com/snth/safa2017
• Owner: snth
• License: apache-2.0
• Created: 2017-02-06T08:50:21.000Z (about 8 years ago)
• Default Branch: master
• Last Pushed: 2022-10-27T09:02:20.000Z (over 2 years ago)
• Last Synced: 2024-11-24T23:06:11.750Z (3 months ago)
• Topics: finance, jupyter-notebook, python
• Language: Jupyter Notebook
• Size: 1.51 MB
• Stars: 0
• Watchers: 3
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# SAFA 2017 Presentation

Presented at the South African Finance Association (SAFA) 2017 conference in

Cape Town on the 18th of January 2017.

## centiBaggers*: A unit for Multi-Period Investment Performance Analysis

### Abstract

    Percentage Returns are the de-facto standard for Investment Performance Measurement.

    Yet they are not very well suited for multi-period performance evaluation. As an

    illustrative example, does the sequence (-30%, +40%) represent a positive or negative

    overall return? We review some of the problems with using percentage returns such as the

    lack of symmetry, lack of additivity and differences between the arithmetic and geometric

    means. We then introduce a new logarithmic unit modeled on the deciBel, tentatively

    called a centiBagger, which addresses these shortcomings. Finally we conclude by using 

    centiBaggers to compare the performance of US Stocks, Bonds and Bills since 1927 and show

    how their use simplifies multi-period comparisons.