The modified Dietz method[1][2][3] is a measure of the ex post (i.e. 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 average capital weights individual cash flows by the length of time between those cash flows until the end of the period. Flows which occur towards the beginning of the period have a higher weight than flows occurring towards the end. The result of the calculation is expressed as a percentage return over the holding period.
^Dietz, Peter (May 1968). "Measurement of Performance of Security Portfolios COMPONENTS OF A MEASUREMENT MODEL: RATE OF RETURN, RISK, AND TIMING". The Journal of Finance. 23 (2): 267–275. doi:10.1111/j.1540-6261.1968.tb00802.x.
^Philip Lawton, CIPM; Todd Jankowski, CFA (18 May 2009). Investment Performance Measurement: Evaluating and Presenting Results. John Wiley & Sons. pp. 828–. ISBN 978-0-470-47371-9. Peter O. Dietz published his seminal work, Pension Funds: Measuring Investment Performance, in 1966. The Bank Administration Institute (BAI), a U.S.-based organization serving the financial services industry, subsequently formulated rate-of-return calculation guidelines based on Dietz's work.
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