For portfolios, is it time-weighted, geometrically linked using modified dietz? For composites, is it asset-weighted using beg. of period valuation?

Or Geometrically linked using TWR.

dont forget DAILY weightings of cash flows

portfolio - 2 methods can be used mod Dietz, or IRR. for composites, 3 methods can be used - weighting based on BVA, based on BVA and CF, and a method simialr to modified Dietz.

can i learn GIPS in one full day (12-15 hrs) from schweser or will it more likely take 2? trying to budget my time.

1 day is doable if you are already familiar. if it were up to me i would spend a lifetime.

weren’t there GIPS on level 2? i don’t remember. i guess that makes me familiar

yahtzee Wrote: ------------------------------------------------------- > For portfolios, is it time-weighted, geometrically > linked using modified dietz? > > For composites, is it asset-weighted using beg. of > period valuation? Portfolios: at least modified Dietz starting 2005, but starting 2010, MUST use true TWRR = linking returns on large CF Composite: Starting 2006 – at least quarterly composite return to be calculated by weighting (1) portfolio returns (monthly? quarterly?) and their beginning values, OR (2) portfolio returns and their beginning values adjusted with corresponding portfolio cash flow. Starting 2010 – must get monthly composite returns Some other questions though (to avoid confusion, please specify which question when you are replying): a) How often must portfolio returns be calculated? Which standard? b) Can portfolio returns be calculated on different frequency from composite? Which standard? c) If (b) = yes, how do you get the quarterly composite return based on the monthly portfolio returns availabe? Which standard? d) If you have 4 quarterly composite returns regarding a composite here, how do you get the annual composite return to be presented? Which standard? e) For (d), how do you get the internal dispersion to be presented for the composite? - sticky