Valuing returns in GIPS 2005 and 2010

Just a blurb I noticed “Geometrically linked time-weighted rates of return adjusted for external cash flows. Starting Jan 1 2005, use approximated rates of return adjusted for daily weighted cash flows. Starting Jan 1 2010, value portions on the date of all external cash flows” So… does that mean that between 2005 and 2010, you value by putting in the denominator all cash flows adjusted by time in the month (as a percentage of time being calculated) and that after 2010 you just re calculate after every major cash flow and then chain link the returns by geormetrically linking them? Please explain.


Until 1/1/2005 can use Original Dietz which weights CF by .5 (assumes CF occured in the middle of the month). The wtg is in the denominator from 1/1/2005 - 1/1/2010, you can use modified Dietz (approx by no of days in denominator) whats called the daily wtng (wi = (cd- di)/cd) Modified IRR was also allowed prior to 1/1/2010, but for that you have to backsolve after 1/1/2010, need to value portfolios on date of each “large” CF and chain link.