Modified Dietz Return Calculator
Estimate one period’s return from beginning and ending account values plus dated contributions and withdrawals. Modified Dietz weights each external flow by the fraction of calendar days it remained in the account, using an end-of-day convention. The result is not annualized and is less precise than valuing around every flow.
Enter one measurement period and its external flows
Use positive amounts for contributions into the account and negative amounts for withdrawals. Dates may include the period start or end.
Daily-weighted period return
Derived from Cash-Flow-Adjusted Returns model 1.0.0.
How Modified Dietz weights contributions and withdrawals
The page uses the account perspective for external flows. A contribution adds capital to the account and is positive. A withdrawal removes capital and is negative. This is the opposite sign convention from the investor-perspective XIRR page, so the labels should be checked before copying a statement.
Every flow receives a calendar-day weight equal to the fraction of the measurement period remaining after its date. A contribution at the period start has weight one, while a flow at the period end has weight zero under the disclosed end-of-day convention.
The numerator removes net external flows from the observed change in value. If an account rises from 10,000 to 16,000 after a 5,000 contribution, only 1,000 remains as the flow-adjusted value change before it is divided by the capital base.
The denominator begins with the opening value and adds each time-weighted flow. A mid-period contribution affects roughly half the capital base. A withdrawal subtracts its weighted amount because that capital was unavailable for the rest of the period.
Modified Dietz is a one-period estimate and is not annualized here. It is useful when exact valuations around every cash flow are unavailable, but a true TWR calculated from complete boundary valuations is more precise, especially around large flows or volatile performance.
The denominator must be greater than zero. A zero or negative weighted capital base does not support the ratio’s intended interpretation, so the calculator withholds the return rather than emitting an extreme or infinite percentage.
Worked example from the audited fixture
The audited fixture begins with 10,000 on 1 January 2026 and ends with 16,000 on 11 April 2026, a 100-day period.
A +5,000 contribution occurs on 20 February, exactly 50 days after the start, so its end-of-day weight is (100 − 50) ÷ 100 = 0.5 and its weighted amount is 2,500.
The numerator is 16,000 − 10,000 − 5,000 = 1,000. The denominator is 10,000 + 2,500 = 12,500. The Modified Dietz return is 1,000 ÷ 12,500 = +8.0000%.
How to interpret the result
- Confirm that positive means a contribution and negative means a withdrawal on this page.
- Check the period dates because every flow weight is derived from exact calendar-day offsets.
- Read net flow as total contributions minus withdrawals, not as trading profit.
- Read the numerator as value change after removing net external flows and the denominator as weighted capital available.
- Treat the percentage as one non-annualized period estimate, not a yearly return.
- Prefer true TWR when reliable valuations exist at every external-flow boundary, particularly for large flows or volatile periods.
Choose the return method that matches the available records
These tools share one governed input and presentation layer, but the outputs are not interchangeable. TWR removes external-flow timing, MWR reflects the investor’s cash-flow experience, and Modified Dietz estimates one period when every boundary valuation is unavailable.
| Method | Records required | Output basis | Cash-flow treatment |
|---|---|---|---|
| Time-weighted return | Values around every external flow | Cumulative, not annualized | Removes external-flow timing |
| Money-weighted return | Signed investor flows with dates and terminal value | Annualized XIRR | Reflects flow size and timing |
| Modified Dietz | Period values plus dated account flows | Period estimate, not annualized | Daily-weighted approximation |
Assumptions and limitations
- No account, broker statement, balance, equity history, cash-flow ledger or price source is connected.
- Flows use an end-of-day calendar convention; a different beginning-of-day policy produces different weights.
- The method approximates a cash-flow-adjusted return and can be less accurate around large flows or non-linear performance.
- The result is not annualized and covers only the entered start-to-end period.
- Fees, financing, rebates, taxes, currency conversion and flow classification depend on the entered statement values.
- The calculation is not a GIPS compliance assessment and recommends no account, contribution, withdrawal, strategy or trade.
Sources and methodology
The arithmetic is independently fixture-tested. These primary references define the formulas and conventions; they do not verify the user’s account values, cash-flow classifications, statement policy, performance quality or future outcome.
- GIPS Guidance Statement — Modified Dietz — CFA Institute formula, calendar-day weights and end-of-day convention used by version 1.0.0.
- GIPS Standards Handbook for Firms — CFA Institute explanation of weighted external flows and the method’s precision limitations.
- GIPS Standards Handbook for Asset Owners — CFA Institute comparison of Modified Dietz with valuation-based time-weighted returns.
Frequently asked questions
- It is a period-return estimate that removes net external flows and weights each flow in the capital base by how long it remained in the account.
- Use a positive amount because the Modified Dietz page uses the account perspective: contributed money increases account capital.
- Use a negative amount because withdrawn money reduces the capital held in the account for the remaining period.
- The weight is the calendar days remaining after the flow date divided by total period days under an end-of-day convention.
- No. Version 1.0.0 returns the one-period percentage between the entered start and end dates.
- Large withdrawals or inconsistent values can make the weighted capital base zero or negative, where the intended return ratio is not meaningful.
- No. It estimates a cash-flow-adjusted period return. True TWR values the account around each external flow and links those subperiods.
- The approximation can weaken when external flows are large or returns vary sharply during the period, especially near flow dates.
Choose a return method that matches the available records
Verify statement, cost and account conventions
Before comparing account performance, confirm how the broker statement timestamps deposits and withdrawals, records balance versus equity, includes spread, commission, financing and rebates, and converts values into the account currency.
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