Rates of Return

This one day, class goes deeper into Rates of Return than any class we’ve ever seen.  If you want to master ROR, you need to reserve your spot now. Just fill out the form on the left side and we will contact you.

Agenda:

Rates of Return

Time-Weighting vs. Money-Weighting

Approximate Time-Weighted Methods

– Mid-point Dietz

– Modified Dietz

– Modified BAI

Exact Time-Weighted Methods

– True daily

– Unit value

Approximate Money-Weighted Methods

– Modified Dietz

Exact Money-Weighted Methods

– Internal rate of return

Sub-Portfolio Rates of Return

Multi-Period Rates of Return

Cumulative Rates of Return

– Why we geometrically link

Annualized Rates of Return  

Accruals vs. Cash Basis

– Why we accrue interest and dividends

– How to accrue for dividends

Making Sense of Nonsensical Results

What Performance Analysts Should Be Doing Beyond Just Reporting The Numbers

What Kinds of Things Should We Be Looking for?

– Misfit

– Style drift

– etc.

The Role of Performance Analysts at Other Organizations