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Home» geometric linking

This post may help you explain odd returns caused by the #coronavirus

Posted by David Spaulding - April 9, 2020 - Compounding, excess returns, geometric linking, Investment Performance Guy, rate of return calculations, rates of return

Odd returns are surfacing, and the coronavirus is the culprit I’ll confess to a bit of hyperbole or misdirected blame here. We can’t really credit the coronavirus, but the markets have been extremely volatile, and whenever that happens, we are bound to see some odd returns. Last month, I was presented with a problem from […]

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Modified Dietz as an alternative to the IRR: does it make sense?

Posted by David Spaulding - October 1, 2019 - #GIPS2020, 2020 GIPS Standards, geometric linking, GIPS 20/20, GIPS 2020, Global Investment Performance Standards, internal rate of return, Investment Performance Guy, IRR, Modified Dietz

One of those confusing things in the world of performance measurement: Modified Dietz Modified Dietz is one of the most commonly used return measures. Granted, Peter Dietz probably never referred to it as “Modified” (he called it “Day-Weighted,” as opposed to “Mid-Point Weighted”), but that’s the term we all know. Most investment firms used it […]

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When the labels don’t matter; e.g., time-weighting

Posted by David Spaulding - June 16, 2017 - geometric linking, internal rate of return, Investment Performance Guy, IRR, money-weighted return, money-weighting, time-weighted, time-weighted return, time-weighting

Sometimes, the labels don’t matter We just finished PMAR Europe 2017, an event that we felt was a huge success. And, as I often do, I made an attempt to interject a bit of humor from time-to-time. In one case, the “spark” behind it was one of the tea selections that was available: it was labeled […]

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Linking across gaps: how best to do it

Posted by David Spaulding - May 19, 2015 - arithmetic linking, geometric linking, Investment Performance Guy, performance measurement

I’ve opined on the subject of  linking across gaps in the past. Recently, I’ve had discussions with a client who wants to be able to link the returns of securities, which were held at various times during a period. I think this is okay, as it would show the client how they did overall in […]

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Why Don’t We Annualize Returns of Less Than One Year?

Posted by admin - August 6, 2012 - annualization, CIPM Exam Tips & Tricks, CIPM expert, CIPM formulae, CIPM Principles, geometric linking, GIPS, time-weighted return

Most performance analysts have heard it said that we should never annualize returns of less than one year.  Some may also be aware that GIPS provision I.5.A.4 (2010 edition of GIPS) forbids compliant firms from annualizing returns for periods of less than a year? But why shouldn’t this be done?  Certainly, we could do it […]

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about Roots and Exponents…

Posted by admin - April 11, 2011 - annualization, CIPM, CIPM expert, CIPM Principles, exponents, geometric linking, roots

Sometimes when we are calculating returns, we need to know the meanings of roots and exponents. This may be especially true when we have to enter things on the calculator, like CIPM candidates are required to do on exams. In mathematics, the n-th root of a number x is a number r which, when raised […]

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