I need to calculate the past 12 month momentum returns of a stock to compare relative performance of various assets. I am doubting what would be the (practical) difference between using log returns versus using simple returns in calculating the return over the past twelve months?

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    $\begingroup$ Why not calculate both and examine the differences for yourself? $\endgroup$ – amdopt Oct 11 '19 at 20:16
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    $\begingroup$ The stocks in the top quintile by arithmetic returns are going to be exactly the same stocks as in the top quintile by logarithmic returns. It is a "rank preserving transformation" of the data. $\endgroup$ – Alex C Oct 12 '19 at 1:38
  • $\begingroup$ So what is the benefit of using this transformation? A distribution that is more closer to a normal one? Lower skewness? $\endgroup$ – incognito Oct 12 '19 at 17:37

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