GIPS calculation

[dweitz]

Reading 43, Problem #24:
Why isn’t the contribution on May 15 of $1,000,000 subtracted from the numerator like they were in Problems #7 and #9?

 

[1recho]

A or B part?
In A they calculate the actual TW return for the whole month, NOT mmodified Dietz like #7.

 

[dweitz]

Part A is not TW return..true TW return would chain-link multiple partial period returns.
My question is: why do they adjust the denominator by adding the weighted contribution just like the modified Dietz method, but don’t subsequently subtract the contribution from the numorator like the modified Dietz?

 

[QNA2012]

7 and 9 are approx total return using mod dietz
24 is total return broken down as capital return + income return
24A is capital return
24 is really the conventional accounting calculation of return (note the use of actual capital beginning rather than fair value beginning) —
mod dietz is an approx working with FV

 

[dweitz]

Thanks.