by admin | Nov 17, 2009 | IRR, money-weighting, time-weighting
I got an e-mail from a retail client this week. That is, a retail client, whose rep works for one of our brokerage clients. This hadn’t happened before. This individual’s rep had passed him one of the issues of our newsletter, to explain how they calculate...
by admin | Oct 27, 2009 | IRR, money-weighting
I was asked this question yesterday and thought it worthy of comment. First, to clarify, “net” means after the fee is removed, while “gross” means before the fee is deducted. There are generally two reasons we show IRR. First, in cases where...
by admin | Oct 26, 2009 | GIPS, money-weighting, time-weighting
Several years ago I pleaded with the then, “powers that be,” to loosen the rules regarding the use of IRR for GIPS(R) compliant firms. At that time, the ONLY asset class for which the rules applied was private equity. The soon-to-be-published GIPS 2010...
by admin | Oct 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...
by admin | Aug 21, 2009 | GIPS, IRR, money-weighting
I recently came across the word “contumacious.” Not being familiar with it, I turned to one of my favorite websites (www.Dictionary.com) to learn its meaning:stubbornly perverse or rebellious;willfully and obstinately disobedient.I suspect there are some...
by admin | Aug 19, 2009 | IRR, money-weighting, risk-adjusted return
Most academic articles that deal with “returns” are actually dealing with risk-adjusted returns. In the course of writing an article on this subject I came across countless such articles. In The Journal of Performance Measurement we’ve tackled both...
