How Should Investors’ Long-Term Returns Be Measured?
研究了长期投资结果的衡量方法，提出“可持续回报”概念，强调回报序列风险的重要性，并指出算术与几何平均的局限性。
We assess measures of long-horizon investment outcomes and clarify underlying trading strategy interpretations. We focus attention on a measure we call the “sustainable return,” defined as the rate of periodic withdrawal for consumption consistent with the preservation of real capital. We use this notion to highlight the role of return sequence risk, which is distinct from risk in the overall level of returns. We illustrate this and several other long-horizon measures in a global stock sample, emphasizing limitations of the arithmetic and geometric means of short-interval returns and the necessity in many contexts to consider the reinvestment of interim cash flows.