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...

How to assess a pension fund’s performance

This is the time of year when many pension funds report their returns for the prior fiscal year. And often, the reported returns were calculated using a time-weighted method. But, is this appropriate? Or, perhaps, is more needed? In my way of thinking, pension funds,...

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

Sometimes, the labels don’t matter We just finished our European conference PMAR, an event that we felt was a huge success. And, as I often do, I made an attempt to interject a bit of humor. A favorite label of mine to pick on is “regular coffee,” as...

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...

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