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 ?
Elton and Gruber review other criteria for portfolio selection; in particular, the geometric mean return, safety first, stochastic dominance, and analysis in terms of characteristics of the return distribution.
The geometric mean return criterion is viewed by Elton and Gruber as maximizing the expected value of terminal wealth.
The geometric mean return and standard deviation of returns for each of the seven markets are presented in Table 1.