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Home» Modified Dietz

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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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 […]

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Common Themes: “Dietz-Style Equations”

Posted by admin - September 20, 2013 - CIPM, CIPM Exam Tips & Tricks, CIPM expert, CIPM formulae, CIPM formulas, CIPM Principles, estimated time-weighted return, Modified Dietz, Original Dietz, return measurement, time-weighted return, true time-weighted return, TWR

For today’s post, I’d like to review some of the “Dietz-style” formulae we use to calculate true time-weighted return and estimated time-weighted return.  I’ve never actually seen the formulae presented this way, but hopefully doing it in this fashion will help candidate see that we are using essentially the same basic formula in all of […]

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Almost Everything We’re Taught Is Wrong, well maybe not almost everything

Posted by admin - January 13, 2012 - GIPS, Global Investment Performance Standards, Modified Dietz, money-weighting, time-weighting

Last year John Stossel wrote a piece titled “Almost Everything We’re Taught Is Wrong.” When it comes to performance measurement, there’s some truth to this, too. Sorrowfully, many refuse to be open to the possibility that the way they’ve been doing or promoting something is fundamentally wrong. Is it pride, a refusal to be objective, […]

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Expert Level Item Set #15 – Modified Dietz and Significant Cash Flows

Posted by admin - October 7, 2011 - CIPM, CIPM Exam Tips & Tricks, CIPM expert, GIPS, Modified Dietz, significant cash flows

An Expert Level candidate asked some questions related to sample exam Item Set #15; the vignette is described below: White Oaks Investment Management, a firm that claims to comply with the GIPS standards, manages an equity portfolio for the City of Kent’s pension plan. Patrick Lor, head of performance reporting, is reviewing Kent’s fourth-quarter portfolio […]

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Mixing & changing returns

Posted by admin - March 23, 2011 - GIPS, Global Investment Performance Standards, Modified Dietz

A GIPS(R) (Global Investment Performance Standards) verification client sent me a note recently, stating that they had historically used Modified Dietz for their returns, but will be switching to “true daily.” He asked if this was permitted or if they would have to restate their history. This also raises the question about multiple methods being […]

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Why time-weighting if we don’t weight time?

Posted by admin - July 9, 2010 - IRR, Modified Dietz, time-weighting

There seems to be some confusion as to what “time-weighting” actually means. The term was coined in the 1968 Bank Administration Institute (BAI) standards. The BAI proposed three ways to calculate returns: the “exact method,” whereby we revalue the portfolio for any cash flow the “linked IRR,” where we geometrically link subperiod (e.g., monthly) returns […]

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Consolidated reporting

Posted by admin - October 7, 2009 - IRR, Modified Dietz, money-weighting, Reporting

Many firms like to group a client’s accounts together, to provide a consolidated report that presents the client with the “overall picture” of what they hold. This is commonly done in the brokerage arena, as well as by others. So, how does one calculate performance for such an arrangement? Well, what question are you trying […]

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