by admin | Sep 21, 2013 | cash basis return, CIPM, CIPM Exam Tips & Tricks, CIPM Principles, GIPS, levered return, margin return, rate of return, real estate, return measurement, time-weighted return, use of leverage
Leverage can be a confusing topic, so I figured it is worth covering in a few blog posts. In this first post, we’ll deal with return calculations for portfolios that employ leverage.Leverage is the use of borrowing, typically with an intent to amplify...
by admin | Sep 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...
by admin | Sep 10, 2012 | CIPM, CIPM expert, GIPS, internal rate of return, performance measurement, SI-IRR, since inception internal rate of return, time-weighted return
CIPM Expert Level candidates must know what return calculations are required by the Global Investment Performance Standards (GIPS(r)), and in which circumstances. Most of the time, time-weighted return (TWR) is required, but in some cases a since inception...
by admin | Aug 6, 2012 | annualization, CIPM Exam Tips & Tricks, CIPM expert, CIPM formulae, CIPM Principles, geometric linking, GIPS, time-weighted return
Most performance analysts have heard it said that we should never annualize returns of less than one year. Some may also be aware that GIPS provision I.5.A.4 (2010 edition of GIPS) forbids compliant firms from annualizing returns for periods of less than a...
by admin | Jul 25, 2010 | CIPM, CIPM Principles, time-weighted return
Recently, my boss David Spaulding commented regarding the origin of the term “time-weighted return.”The CIPM curriculum at the Principles Level gives a description as to the origin of the name. Unfortunately, an original source is not cited. But, I remind...
