schewser book 5, p173 given following portfolio data: 03/31/05: mv = 500; 04/10/05: mv = 515, cf = 100, mv = 615; 04/18/05: mv = 650; 04/30/05: mv = 665 schweser’s monthly return = 11.32% my calculations: 1. (515/500)(665/615) - 1 = 11.37% 2. (Dietz) (665 - 500 - 100)/(500 + 100 * 0.5) = 11.82% 3. (MDietz) (665 - 500 - 100) /(500 + 100 * (30 - 10) / 30) = 11.47% 4. (MIRR) 665 = 500(1+R) + 100(1+R)^(2/3), MIRR = 11.50% my closest calculation is off by 5 bps. is there any other way i missed that would produce schweser’s return?
It is 11.37% based on teh data provided. The return from 3/31 to 4/10 is 3% and the return from 4/10 to 4/30 is 8.13% If you round it down to 8.1% then you can get close with 11.34%, but if you don’t round you get 11.37%. There is no need to calculate the return from 4/10 to 4/18, but even if you do and link them you will get 11.37%. Even using logs you get 11.37%.