[R-SIG-Finance] Returns used to compute the alpha and the beta

[Benoit Schmid]

Good morning,

I would like to know what people generally use when the compute
the alpha and the beta (linear interpolation used for benchmark
performance measure).

 From what I have seen, log return (log(V(i)/V(i-1))) and net return
(V(i)/V(i-1) - 1) seems to be used.
But, in general, what do people "prefer" to use?
And why?

I am working with daily values and I would like to provide annualized
values.
I have not found that many documentation on the web concerning
that kind of annualized information.


Intuitively the beta does not change, when it is annualized as it is a 
ratio.

Concerning the alpha, it is a return therefore I should use:
252*alphaDaily for logr and (alphaDaily + 1)252 for netr,

Am I right?

Thanks in advance for your answer.