Simple Dietz method

The simple Dietz method is a means of measuring historical investment portfolio performance, compensating for external flows into/out of the portfolio during the period. The formula for the simple Dietz return is as follows:

R
        =
        
          
            
              B
              −
              A
              −
              C
            
            
              A
              +
              C
              
                /
              
              2
            
          
        
      
    
    {\displaystyle R={\frac {B-A-C}{A+C/2}}}

where

R
 
 
 {\displaystyle R}
 
 is the portfolio <a href="/facts/Rate_of_return/CldGgD1f">rate of return</a>,

A
      
    
    {\displaystyle A}
  
 is the beginning market value,

B
      
    
    {\displaystyle B}
  
 is the ending market value, and

C
 
 
 {\displaystyle C}
 
 is the net external inflow during the period (flows out of the portfolio are negative and flows into the portfolio are positive).
It is based on the assumption that all external flows occur at the half-way point in time within the evaluation period (or are spread evenly across the period, and so the flows occur on average at the middle of the period).

Simple Dietz method open-in-new

Simple Dietz method