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https://github.com/snth/safa2017
SAFA 2017 Presentation
https://github.com/snth/safa2017
finance jupyter-notebook python
Last synced: 25 days ago
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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
Awesome Lists containing this project
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.