Calculating Log Returns

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This video provides an overview of how to calculate log returns in Excel.
  1. Portfolio Management
  2. Portfolio Management
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Комментарии
Автор

Thanks for the video, finally no more confusion about log returns, before I always thought that we use log returns only for transforming time series into stationary form.

babarhassan
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Thank you so much, have been searching soo long for a video like this !!

marco_
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At 4:15 in the video, here is the problem. Why bothering calculating returns if you haven't actually sold the stock, and if you did buy at 1, and sell at 0.8, re-buy at 0.8 and sell at 1 again, you did in fact make -20% and then 25%.

What you should be averaging is the dollar value of the gains/losses which would equal (-0.2 + 0.2)/2 = 0.

What good does averaging -20% and 25% do? Arithmetic returns aren't the problem here.

theTimmer
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Thank you! I had to search far for this explanation.

brandonpasker
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I have seen people using Natural Log "log (p2/p1)", while calculating daily returns of stock/Index for long period data (15-20 years), instead of using '(p2 - p1)/p1'. Could not know very good reason.

Is it more accurate to use Natural Log ?

Can you make a Video on this in detail for benefit of all of us.

Rgds.

akumar
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How to subtract risk free rate from log returns in order to get excess returns as the risk free rate is not in log form

amirrehmani
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Could you please explain what is log return? Appreciate any input

kavyamalgi
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How to change log (percentage ) to normal percentage

sumitKumar-qitu