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Composite Return Calculation : TTWR or Modified Dietz
On P.285 of CFAI Text Vol 6, TTWR is introduced and it is stated that geometric linking is required by GIPS. However, on P.294~296, the returns are calculated by Modified Dietz (e.g., 0.51% of portfolio A is calculated by Modified Dietz as on P.286 & EOC Q9/31/34).
Shall we use TTWR or Modified Dietz ? TTWR is required from 2011/1/1 ? |
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发表于 2011-7-13 13:57
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