Term Glossary

Metrics, Models & Concepts

Return


Return is a percentage change in asset value over a certain period of time. For modeling and statistical purposes it is often much more convenient to use continuously compounded returns due to the additivity property of multiperiod continuously compounded returns.

A continuously compounded (logarithmic) return over holding period t is computed as follows: \begin{equation} r_{t}=ln(P_{t})-ln(P_{t-1}) \end{equation}

\(P_{t}\)
price of asset at time t


Function Reference
portfolio_return, position_return