Time Weighted Return (TWR)

In summary, we calculate time-weighted returns (TWRs) per day using starting balances, net cashflows, and ending balances. We aggregate balances and cashflows across accounts before calculating daily TWR if necessary. We then aggregate daily TWR across time to calculate TWR for a given period.

Abbreviations

  • BOD: beginning of day
  • EOD: end of day

For a Single Account

  1. Calculate daily TWRs using prior EOD balance, new EOD balance, and any net cashflows. For net deposits (but not starting balances), attribute the deposit to BOD. All other transactions are EOD.
  2. For a given period, aggregate daily TWRs to calculate period TWR.

For a Group of Accounts

  1. Per day, aggregate prior EOD balances, new EOD balances, and any net cashflows.
  2. Calculate daily TWRs using those aggregated balances and cashflows. For net deposits (but not starting balances), attribute the deposit to BOD. All other transactions are EOD.
  3. For a given period, aggregate daily TWRs to calculate period TWR.