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Performance Measurement

daily return is measured as

1+daily returnt =

net assetst

subscriptionst + redemptionst + dividendst net assetst 1

this may be interpreted as a weighted average

daily returnt =

weight

t

· daily return

t

where the (beginning) weights satisfy

weight

t

=1

net casht 1 net assetst 1

return over longer periods is measured “geometrically”

Y

(1 + daily returnt )

1

tperiod

Measurement Concepts for Banking Trading and Investing

John Dodson

Introduction

Outline

Financial Accounting

Double-Entry Bookkeeping

Financial Statements

Investment Accounting

Performance Measurement

Active Return

Securities Conventions

Trading Terminology

Cases

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