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...
by admin | May 17, 2010 | money-weighting, time-weighting
Occasionally we hear a call for “reporting standards.” Personally, this is far from the top of my priority or wish list. Guidance is often appreciated, but standards? No thank you! Okay, and so for a little guidance consider that reporting should very much...
by admin | May 12, 2010 | GIPS, Global Investment Performance Standards, IRR, time-weighting
Almost 40 years ago I came across a “management test” (of the faux variety) which presented a variety of scenarios which required the “test taker” to respond to. For example: You’re at lunch with your largest client when for some reason...
by admin | Apr 21, 2010 | GIPS, Global Investment Performance Standards, money-weighting, time-weighting
We have a new client who wanted us to do a “non-GIPS(R) verification” of a composite. We do this type of work for clients who aren’t able (or choose not) to comply with the Global Investment Performance Standards. We typically begin by understanding...
by admin | Apr 15, 2010 | money-weighting, time-weighting
I’ve seen reports (for firm that have multiple managers) that show each manager’s time-weighted return, along with the fund’s overall time-weighted return. What is being conveyed by the comparison? And what does the overall return tell us? It would...
