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 […]

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 […]

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

Posted by David Spaulding - May 25, 2017 - asset owners, GIPS, Global Investment Performance Standards, internal rate of return, Investment Performance Guy, IRR, performance measurement, time-weighted return, time-weighting, TWR

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 pleasure to speak at, I asked what might be considered an unfair or trick question: […]

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

Posted by David Spaulding - July 1, 2016 - internal rate of return, Investment Performance Guy, IRR, money-weighted return, 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 includes the following: “The role of EU membership in facilitating pro-market reforms in postcommunist […]

Corrections on the appropriateness of the internal rate of return

Posted by David Spaulding - September 23, 2015 - internal rate of return, Investment Performance Guy

You’re entitled to your own opinion, but you’re not entitled to your own facts Daniel Patrick Moynihan I’ll confess a bit of surprise when I saw that my friend and colleague, Carl Bacon, CIPM, was speaking at the annual GIPS(R) conference this month on the subject of the internal rate of return. My reaction was […]

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

Posted by admin - October 3, 2013 - CIPM, CIPM Exam Tips & Tricks, CIPM expert, CIPM Principles, estimated time-weighted return, internal rate of return, IRR, Modified Dietz, performance measurement, return measurement, The Spaulding Group, true time-weighted return

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 million Account market value on 4/11 is $58.2 million (prior to contribution on […]

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

Posted by admin - October 1, 2013 - CIPM, CIPM Exam Tips & Tricks, CIPM expert, CIPM Principles, internal rate of return, IRR, performance measurement, private equity, rate of return, real estate, return measurement, SI-IRR, The Spaulding Group

I have covered the steps to calculating internal rate of return in a few different posts on the blog, including here, here and here. I have also covered the steps to use the cash flow worksheets of the TI BA II Plus and the HP 12 C. You may have read the curriculum and the […]

Calculating IRR – Another CIPM Principles exercise

Posted by admin - April 8, 2013 - CIPM, CIPM Exam Tips & Tricks, CIPM expert, CIPM Principles, internal rate of return, IRR, performance measurement, rate of return calculations

A CIPM Principles candidate sent an email asking how to calculate the internal rate of return in the exercise shown in Exercise 36 in the CIPM Principles Curriculum (on page 234). In this example, the following information is given: Account market value on 1/1/10 is $237,000 Dividends of $8,000 are paid on 7/1/10. These dividends […]

Calculating IRR – CIPM Principles Exercise

Posted by admin - April 8, 2013 - CIPM, CIPM Exam Tips & Tricks, CIPM expert, CIPM Principles, internal rate of return, IRR, IRR calculation, performance measurement

A CIPM Principles candidate sent an email asking how to calculate the internal rate of return in the exercise shown in Example 26 in the CIPM Principles Curriculum (on page 198). In this example, the following information is given: Account market value on 3/31 is $56.3 million Account market value on 4/11 is $58.2 million […]

An Internal Rate of Return exercise – HP 12C keystrokes

Posted by admin - September 27, 2012 - CIPM, CIPM Exam Tips & Tricks, CIPM expert, HP 12C, internal rate of return, money-weighted return, MWR, performance measurement, since inception internal rate of return, The Spaulding Group

In a previous post, I covered an internal rate of return sample exam question, and I covered the keystrokes used on one of the calculators that may be used on the CIPM exam, the Texas Instruments Business Analyst II Plus (TI-BA II Plus). There is, of course, another financial calculator that CIPM candidates may use […]