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It is very important to realize that annualized and cumulative excess return are not calculated in the naive way, by taking the annualized or cumulative return of the excess return series. Instead, one must take the annualized and cumulative return of the two original series and then form the difference between the two:

AnnExRtn = AnnRtn(r1, ..., rn) - AnnRtn(s1, ..., sn)

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