Questions / Quant research, Time-series reasoning
Aggregate log returns
Three successive log returns are 0.02, −0.01, and 0.03. What is the cumulative log return as a percentage?
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Answer: 4% (1/25)
- Log returns add: 0.02 − 0.01 + 0.03 = 0.04, or 4%.
Interview shortcut. Log returns add over time.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.