by TSG | Apr 14, 2022 | Performance Perspectives Newsletter, time-weighted return
VOLUME 18 – ISSUE 4 April 2022 Download PDF...
by David Spaulding | Jul 31, 2017 | pension funds, asset owners, GIPS, Global Investment Performance Standards, Investment Performance Guy, IRR, money-weighted return, performance measurement, time-weighted return, time-weighting
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...
by David Spaulding | Jun 16, 2017 | time-weighting, geometric linking, internal rate of return, Investment Performance Guy, IRR, money-weighted return, money-weighting, time-weighted, time-weighted return
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...
by David Spaulding | May 25, 2017 | asset owners, GIPS, Global Investment Performance Standards, internal rate of return, Investment Performance Guy, IRR, performance measurement, time-weighted return, time-weighting, TWR
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...
by David Spaulding | Oct 26, 2016 | time-weighted, BAI, Bank Administration Institute, Investment Performance Guy, performance measurement, time-weighted return, time-weighting
Why is it called time-weighted returns? Before I answer this question, it might help to explain where the terms “time-weighting” and “time-weighted” come from. It’s not what you may think. No, Peter Dietz, who gave us the “Original...
by David Spaulding | Jun 14, 2016 | rates of return, Investment Performance Guy, money-weighted return, money-weighting, time-weighted return, time-weighting
I recently conducted a software certification for a software vendor. I found some issues with their application of rates of return, and we’ve been going back-and-forth on it. One issue that arose was my belief that money-weighting is the appropriate...
