I recently came across a chart of Fama-French's (FF) HML factor cumulative performance. I first saw this in an article by AQR's Cliff Asness: http://www.institutionalinvestor.com/Article/3315202/Asset-Management-Equities/The-Great-Divide-over-Market-Efficiency.html#/.VkntwZ0o5Ms
I went to Ken French's data library in an attempt to replicate it. I was simply compounding the growth of $100, by doing a straightforward time series of 100*(1+r). After no success on such a deceptively simple task, I eventually found that Asness was showing the cumulative performance, as the cumulative sum. See figure 9.1 Quantitative Equity Investing by Lasse Heje Pedersen (on google books). Here's the footnote to that chart:
Cumulative performance of the value factor HML, 1926—2012. The figure shows the cumulative sum (i.e., without compounding) of the long–short value factor HML constructed based on stocks' book-to-market ratios.
My specific question is why use this "cumulative sum" instead of the compounded wealth growth? What is the use of this data presentation? To me this does not say much about the true cumulative performance of the factor, one needs to see this in terms of compounding.