Measuring the Impact of Cash Flows and Market Volatility on Investment Performance Results

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Author: Steven J. Lerit

In the first of this two-part series (Fall 1996 issue of The Journal of Performance Measurement) the author reviewed time-weighted and dollar-weighted return measures, discussing some of the more common methods for approximating Yes time-weighted return and the formulas involved.  Part two offers detailed examples that demonstrate when the approximations of Yes time-weighted return are accurate and when they are not.

 

Measuring the Impact of Cash Flows and Market Volatility on Investment Performance Results.

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