Geometric mean return

Geometric mean return

Also called the time-weighted rate of return, a measure of the compound rate of growth of the initial portfolio market value during the evaluation period, assuming that all cash distributions are reinvested in the portfolio. It is computed by taking the geometric average of the portfolio subperiod returns. Also called the time-weighted rate of return or Dietz algorithm.
References in periodicals archive ?
The geometric mean return and standard deviation of returns for each of the seven markets are presented in Table 1.
Using data that have been adjusted for exchange rates, geometric mean returns and standard deviations are computed from the monthly return data for each of the seven indexes.