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As a practical example, I have generated a sequence of returns where mean log returns are -12%, while the arithmetic mean is +1.1%. This can happen with very heavy tailed distributions and, e.g. in evaluating hedge fund performance, the arithmetic return will mask this. A glance at an equity curve would also highlight the issue so in reality no-one is ...


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Very few websites give Total Returns...Morningstar and mutual fund companies give performance numbers which include dividends... the ReturnFinder app and CorrectCharts app give this information in tabular and graphical form with the plots showing both price and total returns.


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What you want to do sounds like exponential smoothing of returns. So you want to forecast a return by exponentially weighting recent returns. For exponential smoothing you can look at Hyndman's papers and the e-book or this course on page 34. I personally don't think that this will give a good forecast! It would be much too easy by the way. The link that ...


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Singer and Terhaar original paper can be found at this link. They do not provide an explanation about how to estimate this factor and just mention that both values provide a boundary. The CFA curriculum mentions that " For example, it has been observed that developed market bonds & equities are approx 80% integrated and 20% segmented.", however the ...



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