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https://github.com/snth/safa2017

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

finance jupyter-notebook python

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SAFA 2017 Presentation

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# 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.