It recreates Grinold Table 4.1 (Ch 4 not assigned, just setup) so it is okay "as is" but i probably need to better label: they are monthly returns ... but thanks for noting the confusion b/c I can better label it - David
David I understand that it is a reconstruction from ch 4 (As a matter of fact this sheet helped a lot); but can you please explain the significance of the "1+" in the formula and how is related to return being monthly or annual.
I guess i would be able to understand what you are pointing to if I understand " why 1+ .. ?"
As you noted, my formula does *not* contain a “1+”
For example, I copied Grinold’s monthly riskfree rate of +0.26%
That would be equivalent to November * (1+0.0026) = December; or Nov * 1.0026 = Dec
(it’s beside the point, and more advanced, but notice that I can infer simple returns not log returns … log returns are time additive but not cross-sectionally additive .... but simple returns, vice versa )