Modern Finance ModifiedDietzReturn

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ModifiedDietzReturn

Returns an approximate time-weighted return, weighting each flow by days invested.

Syntax

ModifiedDietzReturn( beginValue, endValue, flows( ), flowDayOffsets( ), periodDays )

Examples

#import "std/money"
using money

'' The standard approximation to a time-weighted return when you cannot
'' value the portfolio at every flow: each flow is weighted by the
'' fraction of the period it was invested for.
dim as Decimal fl( 0 to 0 ) = { DecimalParse( "10000" ).Value( ) }
dim as int32 off( 0 to 0 ) = { 45 }

'' 100,000 grows to 112,000 with a 10,000 contribution on day 45 of 90,
'' so the denominator is 100,000 + half of 10,000.
print ModifiedDietzReturn( DecimalParse( "100000" ).Value( ), _
                           DecimalParse( "112000" ).Value( ), _
                           fl( ), off( ), 90 ).Value( )   '' 0.01904761904761905

'' A flow on the FIRST day is fully weighted, one on the LAST day not at
'' all -- which is the whole point of the weighting.
dim as int32 first_( 0 to 0 ) = { 0 }
print ModifiedDietzReturn( DecimalParse( "100000" ).Value( ), _
                           DecimalParse( "112000" ).Value( ), _
                           fl( ), first_( ), 90 ).Value( )

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Library: Finance
Category: Finance
Documented under: Nothing Becomes A Keyword
Source: pkg/std/money/finport.tiko in the tiko repository.