Portfolio Performance Evaluation: What Differences do Logarithmic Returns Make?
Ralf Hudert, CIPM, DWS Holding and Services;
Michael G. Schmitt, CFA, International School of Management and
Michael von Thaden, International School of Management

Return and risk ratios play a crucial role for both investors and portfolio managers. In terms of the portfolio manager, this means that their ability to beat, for example, a benchmark index must always be proportioned to the additional risk taken. This especially asks for a precise definition of the underlying performance measures, however, due to regulatory requirements, it is still possible that different definitions of one single performance measure are being used by one financial institution. In this paper, the effects of these differences will be examined.