time-weighted return


Also found in: Acronyms.

time-weighted return

A rate-of-return measure of portfolio performance that gives equal weight to each period included in the study regardless of any differences in amounts invested in each period.
References in periodicals archive ?
Once again, use Bob's situation, but this time solve for the time-weighted return.
For this example, the following is used: a risk-free rate of 6%, the portfolio's time-weighted return of 14.
Manager performance standards promulgated by the Association of Investment Management Research require that stock, bond, and real estate investment managers use time-weighted returns for reporting investment performance.
Exhibit 4: Time-Weighted Return for Barry and Samantha Barry Year 1 ($150-$100)/ $100=50% Year 2 ($350-$150-$100)/($150+$100)= 40% Year 3 ($270-$350-$100)/($350+$100)= (40%) Time-weighted return: (1+.
Powered by BI-SAM s best-in-class B-One performance calculation engine and underpinned by Broadridge s Investment Management technology, the solution provides complete performance reporting and absolute attribution analysis across multiple asset classes and dimensions of the business, including true time-weighted returns at multiple levels, internal rates of return at fund level, benchmark comparisons and market segment decomposition.