User talk:Jonazo

Hi! Thank you for contributing to this page. I wanted to ask if you could explain a bit more about the possibility of using the modified dietz return for a day, for example, as an input into a time weighted return calculation over a month. How would this affect the value for the return on a individual investment or a portfolio? Would it eliminate the external flow issue for a basic time-weighted return calculation? Please share your thoughts. Kind regards 77.100.212.68 (talk) 19:40, 1 July 2022 (UTC)[reply]

It depends on what data is available intraday. All methods need a measure of the size of the flow. The crucial additional data for time-weighted return is a valuation at each point in time when there is a flow, whereas modified Dietz (and internal rate of return both) require the time when the flow occurs. This holds true, whatever the timing assumption is. You might assume timing occurs at the beginning or end of the day, or at the beginning or end of a month, or you might have exact date and time, in which case you can calculate modified Dietz return intraday. Having either the date and time data, or the intraday valuation data, required to calculate flows intraday for your preferred method should solve some of the paradoxes in special scenarios. 182.55.108.206 (talk) 22:40, 1 July 2022 (UTC)[reply]

The last contribution above was mine, by the way. Jonathan G. G. Lewis 22:46, 1 July 2022 (UTC)

As I explained above, if you have the data, you can calculate your modified Dietz return over a day (or a longer sub-period, in fact), then link the modified Dietz returns geometrically. Alternatively, if you the intraday valuations, calculate a true time-weighted return for the whole period, by linking intraday sub periods. Jonathan G. G. Lewis 22:51, 1 July 2022 (UTC)