Description
Return their natural-log difference and first/second factor ratio.
A simple return is a change relative to an initial value, while a gross return is a wealth multiplier and a log return uses a logarithm of that multiplier. Dividend, split, fee and currency conventions change what is included.
Return their natural-log difference and first/second factor ratio.
When to use this tool
Use Return Factor Log Gap when you need a stated return-basis conversion or contribution.
How to use the tool and how it works
- Enter firstGrossFactor, secondGrossFactor. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read logGap, factorRatio. Use the output convention below.
Require positive gross factors. Return their natural-log difference and first/second factor ratio.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| firstGrossFactor | First Gross Factor | Required. Finite number; strictly above 0. |
| secondGrossFactor | Second Gross Factor | Required. Finite number; strictly above 0. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| logGap | Log Gap | Required. Finite number. |
| factorRatio | Factor Ratio | Required. Finite number. |
{
"input": {
"firstGrossFactor": 1.2,
"secondGrossFactor": 1
},
"output": {
"logGap": 0.1823215567939546,
"factorRatio": 1.2
}
}Limitations and assumptions
- Factors are dimensionless wealth multipliers on comparable horizons. A log gap is not the arithmetic difference of simple returns or an annualized rate by itself.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Reconstruct the full investment cashflow and adjustment history for performance analysis. Align horizons, quote direction and numeric return scales, and include relevant fees and taxes explicitly.
References
Similar or alternative tools
- Asset Log Return Simple Crosswalk
Return log1p(simpleReturn) and one-plus-return wealth factor.
- Return Quote Currency Factor
Multiply them and subtract one for simpleReturn.