Posts Tagged: money-weighted

The modified Dietz method is a calculation used to determine an approximation of the performance of an investment portfolio based on money-weighted cash flow. In the absence of daily portfolio valuations, the modified Dietz method weights individual cash flows by the amount of time from when those cash flows occur till the end of the… Read more » Read more…

In one sense there ought not to be too much discussion about the relative merits of money-weighted or time-weighted attribution, the attribution methodology must be consistent with the methodology used to calculate the total return of the portfolio, hence for time-weighted returns use a time-weighted attribution methodology and for money weighted returns use a money-weighted attribution methodology. Read more…

In one sense there ought not to be too much discussion about the relative merits of money-weighted or time-weighted attribution, the attribution methodology must be consistent with the methodology used to calculate the total return of the portfolio, hence for time-weighted returns use a time-weighted attribution methodology and for money weighted returns use a money-weighted attribution methodology. Read more…