I have a situation in which I'd like to calculate a total portfolio return for a portfolio made up of funds with different valuation frequencies and return methodologies.

As an example, say I have a portfolio that owns shares in two funds. The first fund is valued monthly with cash flows restricted to month-end. Returns for this fund can be calculated using a time-weighted approach. The second fund is valued quarterly with cash flows allowed on a daily basis. Returns for the second fund can be calculated using Modified Dietz or similar. There are a couple questions I have:

  1. How would I properly calculate a quarterly return in this example? Can I just market value weight the two individual fund quarterly returns? Should I use a Modified Dietz approach, treating the full portfolio as a single asset?
  2. If I wanted to calculate monthly returns for this portfolio, is there an appropriate way to do that?

Thanks in advance!


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