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The modified Dietz method [1] [2] [3] is a measure of the ex post (i.e. historical) performance of an investment portfolio in the presence of external flows. (External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of value in the opposite direction, and which are not income from the ...
Like the simple Dietz method, the modified Dietz returns of two or more different constituent assets in a portfolio over the same period can be combined to derive the modified Dietz portfolio return, by taking the weighted average. The weight to be applied to the return on each asset in this case is the average capital of the asset.
The simple Dietz method is a variation upon the simple rate of return, which assumes that external flows occur either at the beginning or at the end of the period. The simple Dietz method is somewhat more computationally tractable than the internal rate of return (IRR) method. A refinement of the simple Dietz method is the modified Dietz method ...
Direct historical measurement of the rate of return on a portfolio applies one of several alternative methods, such as for example the time-weighted return or the modified Dietz method. [ 1 ] [ 2 ] It requires knowledge of the value of the portfolio at the start and end of the period of time under measurement, together with the external flows ...
Investment performance. Investment performance is the return on an investment portfolio. The investment portfolio can contain a single asset or multiple assets. The investment performance is measured over a specific period of time and in a specific currency. Investors often distinguish different types of return.
Internal rate of return (IRR) is a method of calculating an investment 's rate of return. The term internal refers to the fact that the calculation excludes external factors, such as the risk-free rate, inflation, the cost of capital, or financial risk. The method may be applied either ex-post or ex-ante. Applied ex-ante, the IRR is an estimate ...
Performance attribution, or investment performance attribution is a set of techniques that performance analysts use to explain why a portfolio 's performance differed from the benchmark. This difference between the portfolio return and the benchmark return is known as the active return. The active return is the component of a portfolio's ...
HPR is the change in value of an investment, asset or portfolio over a particular period. It is the entire gain or loss, which is the sum income and capital gains, divided by the value at the beginning of the period. HPR = (End Value - Initial Value) / Initial Value. where the End Value includes income, such as dividends, earned on the investment: