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QuickView Four Examples of PerfCalc Performance Calculation Methodology Options

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Individual Portfolio Performance Report

Dates, cash flows, and dollar amounts selected @ random.

Time periods were intentionally set to one quarter to best illustrate differences in performance calculation options.

  • Data may be entered for any number and combination of days, weeks, months, years.

Sidebar: In competitive or comparative performance situations, it is essential that one be familiar with different performance calculation options so as to be sure that all parties are using the same performance calculation methodology; to be sure performance calculation variances are real rather than due solely to the performance calculation applied. Furthermore, one needs to be aware of the fact that even though most performance calculation algorithms generate reasonable/responsible/compliant performance calculations almost all of/most of the time, each performance calculation methodology has its flaws in some extreme and unusual data input situations.

Data Entry 'Type' Options

Simple Modified Dietz

Enter any two Market Values @ any two date ranges.

Enter cash flow type entries within the analysis range.

Modified Dietz calculation appears @ Modified Dietz tab.

Use: Best performance calculation option for just two Market Value entries, external cash flow entries, and possible accruals' entries within one analysis range of any time period length.

Modified Dietz Geometric Linking

Multiple Market Values entered @ user selected dates; any number and combination of days, weeks, months, years.

Sub-period Modified Dietz calculations will be made @ MV1-MV2, MV2-MV3, MV3-MV4, etc.

Sub-periods will then be geometrically linked to calculate performance over a user selected analysis range; MV1-MV3 or MV1-MV4 for example.

  • User can select a sub-period analysis range @ Portfolio Performance/Valuation Period/From/To; any two dated MVs.

Modified Dietz Geometric Linking performance calculation will appear @ TWRR/Geometric Linking tab.

  • Depending on the $ amounts and the analysis range time frame, both tabs may have little or no performance calculation variances.
    • User has option to click on the Modified Dietz tab to view the simple Modified Dietz calculation; Market Value entries within a user selected analysis range will be ignored.

Save and print reports.

Use: Modified Dietz Geometric Linking portfolio performance calculation is the closest and best type of performance calculation for this situation; multiple Market Value entries, external cash flow entries, and possible accruals' entries within multiple user entered Market Value analysis ranges.

Sidebar: You could select MV1 @ 12/31/97- MV4 @ 3/31/1998 as analysis range and select the Modified Dietz tab to generate a simple Modified Dietz performance calculation; but, the answer in most cases will not be the closest and best answer.

Modified Dietz Large Cash Flows Geometric Linking

All is the same as Modified Dietz Geometric Linking (prior example) except that a Market Value(s) must be entered on the date(s) prior to a large cash flow(s); in this case, 2/15/1998 Market Value before 2/16/1998 Investor Contribution large cash flow.

  • Check Large Cash Flows check box.
  • Large Cash Flows are undefined by GIPS and must be user defined.
  • Experimenting by toggling between performance calculation tabs and by comparing performance calculation differences will help the user define a Large Cash Flows calculation policy.
    • Usually cash flows somewhere between 5% and 10% of total market value.

Use: Best performance calculation option for multiple Market Value entries, external large (and small) cash flow entries, and possible accruals' entries within multiple Market Value analysis ranges as required by GIPS for large cash flows performance calculations.

Daily Valuation

Market Values entered on all dates before all cash flows.

  • Large Cash Flows check box unchecked.

Use: Most accurate performance calculation; but, in most cases, minor or no improvement in performance calculations and not worth the added effort of calculating and inputting Market Values on dates prior to all cash flows.