Uncompounded Cumulative Returns

[hale4029]

Hi Dany and all following - I am curious as to why uncompounded cumulative returns were chosen for these calculations in the Jupyter report when most examples on the website use simple returns. Are you implying log returns should be used for these functions vs simple returns? If so, it would appear the report method(s) do not accept both simple and log returns to accurately calculate these metrics.

• 'MDD': Maximum Drawdown of uncompounded cumulative returns (Calmar Ratio).
• 'ADD': Average Drawdown of uncompounded cumulative returns.
• 'DaR': Drawdown at Risk of uncompounded cumulative returns.
• 'CDaR': Conditional Drawdown at Risk of uncompounded cumulative returns.
• 'EDaR': Entropic Drawdown at Risk of uncompounded cumulative returns.
• 'UCI': Ulcer Index of uncompounded cumulative returns.