by admin | Nov 29, 2010 | money-weighting, time-weighting
While “risk” seems to be a more commonly found topic in the Wall Street Journal, I was pleased to see this advertisement appear in this past weekend’s edition. First, it’s wonderful to see a focus on diplomas, especially for inter-city...
by admin | Oct 14, 2010 | money-weighting, time-weighting
During our Fundamentals of Investment Performance class, when we get to the discussion of time- versus money-weighting, a question arises as to why firms continue to exclusively employ time-weighting, when it’s quite clear that there’s a major role for...
by admin | Sep 22, 2010 | GIPS, Global Investment Performance Standards, money-weighting, time-weighting
If you’re a frequent reader of my blog and/or our firm’s newsletter, you know of my passion for money-weighting, especially when it comes to subportfolio returns.I’m teaching classes this week for a client and when we discussed subportfolio returns...
by admin | Aug 31, 2010 | money-weighting, time-weighting
A brokerage client just mentioned that one of their reps wants money-weighted returns at the subportfolio level. And I was asked to contrast the advantages and disadvantages of time- versus money-weighting. Well, in one respect he came to the wrong guy, because there...
by admin | Jul 9, 2010 | IRR, Modified Dietz, time-weighting
There seems to be some confusion as to what “time-weighting” actually means. The term was coined in the 1968 Bank Administration Institute (BAI) standards. The BAI proposed three ways to calculate returns: the “exact method,” whereby we revalue...
by admin | Jun 29, 2010 | money-weighting, time-weighting
A few days ago I announced the arrival of the June newsletter, and a couple attentive readers immediately made me aware of a typo. In the “logic” section on page 3 you’ll find “And the inverse holds: when the manager does control the cash...
