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发表于 2011-7-13 16:18
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"If there are no large external cash flows during the period, no additional revaluation of the portfolio would be required and the use of the Modified Dietz method (or another method that daily weights cash flows) to calculate the monthly portfolio return would be acceptable. The Modified Dietz method can also continue to be used when calculating partial monthly period returns prior to and after a large external cash flow. This change does not require a firm to value all portfolios on a daily basis. Instead, a firm will need to revalue a portfolio at the time of a large external cash flow for periods beginning 1 January 2010.
For example, if a firm utilizes the Modified Dietz methodology to calculate portfolio returns on a monthly basis and one of the external cash flows during the period is “large”, the firm would revalue that portfolio at the time of the large external cash flow in accordance with its cash flow policies and procedures. The firm would then calculate the portfolio return for the partial periods before and after the large external cash flow using the Modified Dietz methodology for the partial period, and geometrically link these partial period returns to calculate the portfolio’s monthly return.
Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 11:37PM by goodman2011. |
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