Carson

If the dividend is not be reinvested, it is still held as cash.

So you can't have -100% unless you've lost all the cash too. If you have lost the cash (money market went belly up, government defaulted 100%, whatever), then the calculation is correct.

A more interesting question is what if you have a -100% quarter in the middle of a longer streak (say 10 quarters of returns, but you lost 100% in quarter 5). If you didn't have any external cash flows in and out of the fund, then there would be nothing to invest come quarter 6, but if you had external investors who still invested, you could have a money weighted return that was positive and a time weighted return from quarter 6 forward that is positive. I'm not sure what they right way to do this is other than to footnote that you've lost everything and started over at quarter 6.