tag:blogger.com,1999:blog-2568941354104807757.post3914127177001031483..comments2023-10-05T09:07:24.225-04:00Comments on Investment Performance Guy: In the middle of the day...Dave Spauldinghttp://www.blogger.com/profile/01777929408680234896noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-2568941354104807757.post-17222497254412071862010-06-09T12:55:00.606-04:002010-06-09T12:55:00.606-04:00John, thanks!John, thanks!Dave Spauldinghttps://www.blogger.com/profile/01777929408680234896noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-56906607973434507812010-06-09T05:00:19.819-04:002010-06-09T05:00:19.819-04:00Agreed, regarding internal cash flows and IRR.Agreed, regarding internal cash flows and IRR.Anonymoushttps://www.blogger.com/profile/09291622299326854245noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-91591167128398177052010-06-07T17:55:17.209-04:002010-06-07T17:55:17.209-04:00Rishi, I'm not sure it's fair to say that ...Rishi, I'm not sure it's fair to say that mid-day isn't supported. If you mean from a monthly return perspective, where we're speaking of the middle of the month, you're right, but if we're speaking about a day, this isn't so obvious. Yes, the standards speak of "weighting" the cash flow, but in the context of "day-weighting," not "hour-weighting" or "intra-day" weighting. It's more "inter-day weighting," as in across the full period. <br /><br />My guess is that if we pushed it we'd find that midday weighting IS acceptable and probably should be, though I happen not to favor it (others are fine with it, and in the grand scheme of things, it's probably okay to allow).Dave Spauldinghttps://www.blogger.com/profile/01777929408680234896noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-15926921915857897392010-06-07T16:25:35.634-04:002010-06-07T16:25:35.634-04:00David,
For accuracy purposes, I strongly support...David, <br /><br />For accuracy purposes, I strongly support you that external cash flows must either be treated beginning of the day or end of the day. Even GIPS(R) does not support mid day treatment of external cash flows. I am wondering how would the client claim the compliance with GIPS(R).Rishi Gajbhiyehttps://www.blogger.com/profile/04171016052290889788noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-59425095423969168682010-06-03T15:29:35.026-04:002010-06-03T15:29:35.026-04:00John, interesting point about trades. Since I favo...John, interesting point about trades. Since I favor IRR for internal cash flows, we'd be doing them not on a daily basis but across a longer time period, so I would still think midday doesn't work. If you're going to do TWRR, then perhaps you're right.Dave Spauldinghttps://www.blogger.com/profile/01777929408680234896noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-33169918884649587902010-06-03T11:37:39.919-04:002010-06-03T11:37:39.919-04:00I would tend to agree that external cash flows sho...I would tend to agree that external cash flows should be treated as either start or end of the day. <br /><br />With respect to internal cash flows, income payments should either be start of the day or end of day as well. Trades, however, arguably occur during the day, so perhaps middle of the day treatment makes sense for some internal cash flows.Anonymoushttps://www.blogger.com/profile/09291622299326854245noreply@blogger.com