标题: Time Weighted Return [打印本页] 作者: rosemary2011 时间: 2011-7-13 14:48 标题: Time Weighted Return
Does anyone know how to figure the TWR for an investment that is not exactly a year long with additional inflows of cash....Not something I need for the test but was wanting to know anyway...example below.
Day 1 value = 9,000
Day 180 value = 12,000
add 6,000 on day 180 to equal 18,000
ending value day 250 = 20,000
what would be the TWR for this.....also if it was over 1 year what would the calculation be..say change the ending time to 1 yr and 50 days...this would be more of a real world example of finding the true TWR of an investment....作者: dotamasta 时间: 2011-7-13 14:48
1)
HPR for first 180 days: (12,000 – 9,000) / 12,000 = 25%
HPR for next 70 (250 – 180) days: (20,000 – 18,000) / 20,000 = 10%
TWR for the total period of 250 days = (1 + .25)*(1 + .10) -1 = 37.5%
Annualized TWR = [(1 + .375) to the power of 1 / (360/250)] - 1 = ***
*** I don’t have my calculator handy, so pls calculate yourself.
2) If this period was over 250 days, say 360+50 = 410 days, then annualized TWR would have been
[(1 + .375) to the power of 1 / (360/410)] - 1
Hope this helps.
Edited 2 time(s). Last edit at Thursday, August 6, 2009 at 04:16AM by rus1bus.作者: dontknow1987 时间: 2011-7-13 14:48
would you not take the geometic mean to the .5 power since there are 2 holding periods and isnt the eay (1+hpy)^365/days-1 not 1/ (360/day)?作者: MythosHF 时间: 2011-7-13 14:48
I think you only use the geometric mean for multiple years.
For a TWR to 250 days, to annualise it you would make it to the power as follows:
rus1bus: The formula for HPY is (P1-P0)/P0. By having divided the numerator by 20,000, effectively you are dividing it by your ending period balance= P1 when it should be P0. Please advise.
