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Actually, neither of your two results are quite correct. As explained in the Details for the Return.calculate function, most of the PerformanceAnalytics functions use discrete returns, not log returns. To get the correct results, you will have to convert your data from log returns to simple returns. Compare the charts from the following: ...


The answer is that it depends. In addition to the Lo paper above, there are a number of excellent references that go into depth about annualizing or time scaling non-i.i.d. returns, one of which is Roger Kauffman, "Long-Term Risk Management", 2005 which can be found at http://www.rogerkaufmann.ch/all-Budapest.pdf. There are some well known cases where the ...

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