NSR reports returns using the Modified Dietz Method, which includes the effects of both idle cash and invested cash that is awaiting loan issuance in our performance returns. This method for return calculation is used in modern portfolio management. It is one of the methodologies of calculating returns recommended by the Investment Performance Council (IPC) as part of their Global Investment Performance Standards (GIPS). The GIPS standard is intended to standardize the way portfolio returns are calculated internationally.
In addition, at this time, any notes that you trade on a platform's secondary market are not accounted for by our return calculations.
When the proper data sets become available from different platforms, we hope to include traded notes in portfolio calculations.