Policy 4 - Says they use the modified dietz method… didn’t that end in 2010? As of 1/1/2010 isn’t a TWR suppose to be used at each point of cash flow?
Also can someone confirm that carve-outs are still allowed? Prior to 2010 you could, Post 2010 you could if it had its own cash account, I THOUGHT in 2013 or something they changed it so you couldn’t? but maybe I completely made that up since I can’t find it.
Modified Dietz is still permisible from what I recall, however you would need to show that the results from either original or modified dietz are not materially different from TWR. Needless to say, that is a prety bold statement without executing the actual calculations: Typically: Higher the more volatile and precense of large ECFs will render the Dietz ineffective.
Ok so it is permissable still. If cash flows are F-ing things up than you have to just take the normal TWR of all the cash flow points? Is that what you are saying?
Yes carve outs are allowed as long as a cash account is used for that i.e. is managed as another strategy and mandate. if you see a question with carve outs, if its 2010 nothing is needed regarding this type of structures, if it is after 2010, you need to show that a cash account has been stablished.