Performance Perspectives Blog

Calculating returns with little data

by | Jan 8, 2010

I’m spending most of this week on an assignment for a client who is engaged in a lawsuit; well, actually I’m doing the work for the client’s attorney. I’m charged with calculating returns for the stocks in the portfolio, and was given only year-end statements that include the year-end positions, along with transactions, income, and disbursements for the year. The first year only has that year’s ending position. The exercise spans six years. How does one do this?

I am calculating both time- and money-weighted returns. I’ll therefore need monthly returns for the time-weighting. So, how would you do it?

Again, all you have are:

  • year-end positions
  • transactions for the year
  • income for the year
  • disbursements for the year.

I’ll let you ponder this awhile before stating how I did it.

BTW, I think this would be a good exercise for the CIPM program!