Classic (money-weighted) performance (Modified Dietz)
A basic parameter for calculating performance using the money-weighted method is the average available capital. It indicates the average amount of capital available to the portfolio for investment during the period under review.
This figure is calculated starting with the asset value of the portfolio at the beginning of the period under review. The product of the capital amount and the number of days is calculated for the period for which a certain capital amount was available. The intervals for this calculation are determined by the timing of the capital flows. The sum of the products determined in this way divided by the length of the observation period in days expresses the average available capital. Whether the duration or the period under review is measured in working days or calendar days has practically no effect - Infront Portfolio Manager measures in working days, as a change in assets generally only takes place on these days.
Beispiel:
Date | Kind | Cash flow | Available capital | Days | Product |
|---|---|---|---|---|---|
31.03.20 | Asset value at inception | 0,00 | 382.210,41 | 4 | 1528841,64 |
06.04.20 | Cash contribution | 10.000,00 | 392.210,41 | 23 | 9020839,43 |
07.05.20 | Cash withdrawal | -5.000,00 | 387.210,41 | 23 | 8905839,43 |
09.06.20 | Cash contribution | 7.500,00 | 394.710,41 | 16 | 6315366,56 |
30.06.20 | |||||
TOTAL | 66 | 25770887,06 |
>> Average available capital: 25770887,06 / 66 = 390.467,99
The second important figure in the money-weighted performance calculation is the change in the portfolio's asset value adjusted for capital flows; this is also referred to as "absolute performance". Cash flows are defined as cash deposits and withdrawals, as well as securities deposits and securities deliveries. To calculate the (absolute) performance, the taxes already paid must also be added.
Asset value (end)
- Asset value (beginning)
- Cash deposits
+ Cash withdrawals
- Deliveries
+ Deliveries
+ taxes already paid
= absolute performance
The asset value at a specific point in time is calculated as the sum of the values of all accounts and securities accounts contained in the portfolio at that point in time, taking accrued interest into account. Finally, the money-weighted performance is expressed by:
