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

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...

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

What question does the GIPS for Asset Owners composite return answer?

The revised GIPS for Asset Owners guidance statement hasn’t yet been finalized, but we can pretty much expect that the time-weighted composite return requirement will remain. At a recent NYSSA (New York Society of Security Analysts) GIPS program, that I had the...

How a book on the EU and the relating of Homer’s “The Odyssey” made it’s way to this blog, relative to money-weighting

On the first day of this long July 4th weekend, I’m reading a book that is quite timely, which just came in: “Towards an Imperfect Union,” by Dalibor Rohac. It’s excellent, simply excellent, and I’m learning a great deal. The author...
Fast Calculation of Internal Rate of Return (in Multiple Choice Situations…), Part II

Fast Calculation of Internal Rate of Return (in Multiple Choice Situations…), Part II

In my last post, I covered a “fast” way to solve multiple choice internal rate of return exercises.  In today’s post, I look at a second quick method.Recall the details from the last post:Account market value on 3/31 is $56.3 millionAccount...

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