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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Modified Dietz method ： ウィキペディア英語版 Modified Dietz method The modified Dietz method is a measure of the historical performance of an investment portfolio in the presence of external flows. (External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of value in the opposite direction, and which are not income from the investments in the portfolio, such as interest, coupons or dividends.) To calculate the modified Dietz return, divide the gain or loss in value, net of external flows, by the average capital over the period of measurement. The result of the calculation is expressed as a percentage rate of return for the time period. The average capital weights individual cash flows by the amount of time from when those cash flows occur until the end of the period. This method has the practical advantage over Internal Rate of Return (IRR) that it does not require repeated trial and error to get a result. The cash flows used in the formula are weighted based on the time they occurred in the period. For example if they occurred in the beginning of the month they would have a higher weight than if they occurred at the end of the month. This is different from the simple Dietz method, in which the cash flows are weighted equally regardless of when they occurred during the measurement period, which works on an assumption that the flows are distributed evenly throughout the period. With the advance of technology in the past 15 years, most systems can calculate a true time-weighted return by calculating a daily return and geometrically linking in order to get a monthly, quarterly, annual or any other period return. However, the modified Dietz method remains useful for performance attribution, because it still has the advantage of allowing modified Dietz returns on assets to be combined with weights in a portfolio, calculated according to average invested capital, and the weighted average gives the modified Dietz return on the portfolio. Time weighted returns do not allow this. This method for return calculation is used in modern portfolio management. It is one of the methodologies of calculating returns recommended by the Investment Performance Council (IPC) as part of their Global Investment Performance Standards (GIPS). The GIPS are intended to provide consistency to the way portfolio returns are calculated internationally. The method is named after Peter O. Dietz. ==Formula== The formula for the modified Dietz method is as follows: :$R\_=\; \backslash cfrac=\; \backslash cfrac$ where :$EMV$ is the ending market value :$BMV$ is the beginning market value :$F$ is the net external inflow for the period (contributions to a portfolio are entered as positive flows while withdrawals are entered as negative flows) and :$\backslash sum\_^n\; W\_i\; \backslash times\; =$ the sum of each flow $F\_i$ multiplied by its weight $W\_i$ The weight $W\_i$ is the proportion of the time period between the point in time when the flow $F\_i$ occurs and the end of the period. $W\_i$ can be calculated as :$W\_i\; =\; \backslash frac$ where :$CD$ is the number of calendar days during the return period being calculated, which equals end date minus start date plus 1 :$D\_i$ is the number of days from the start of the return period until the day on which the flow $F\_i$ occurred. This assumes that the flow happens at the end of the day. If the flow happens at the beginning of the day, use the following formula for calculating weight: $W\_i\; =\; \backslash frac$ 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Modified Dietz method」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.