Time-Weighted Return Calculator
Calculate a cumulative time-weighted return by entering account values immediately after one external cash flow and immediately before the next. The calculator links each subperiod geometrically, so deposits and withdrawals do not become trading performance, but it does not annualize the result or verify the entered valuations.
Enter valuation-to-valuation subperiods
Each row must start immediately after the previous external flow and end immediately before the next one. Add a final row through the measurement end.
Geometrically linked return
Derived from Cash-Flow-Adjusted Returns model 1.0.0.
How time-weighted return removes entered cash-flow timing
Time-weighted return separates the measurement period wherever an external contribution or withdrawal occurs. The account must therefore be valued at each boundary. The ending value for a row is the value immediately before the flow; the next row begins with the value immediately after the flow.
Each row is converted to a simple holding-period return. A change from 10,000 to 11,000 is +10%, regardless of the currency selected for display. Currency is a label only, so every value in the calculation must use the same currency and valuation basis.
The subperiods are linked geometrically rather than added. A +10% subperiod followed by −10% does not equal zero: the combined factor is 1.10 × 0.90 = 0.99, or −1%. Geometric linking preserves the compounding path across the entered boundaries.
External flow amounts are deliberately not entered on this page. Their effect is removed by the pre-flow and post-flow valuations. If a trader knows only opening value, closing value and transfer amounts, the Modified Dietz route can estimate a period return without every boundary valuation.
The output is cumulative for the entered subperiod sequence and is not annualized. Comparing sequences of different lengths requires a separately governed annualization convention and accurate dates. This page does not invent dates from row order.
A TWR can help describe account performance independently of user-controlled deposits and withdrawals, but it does not prove skill, persistence or future profitability. Price sources, valuation times, fees, financing, taxes and treatment of internal transfers can materially change the underlying statement values.
Worked example from the audited fixture
The audited fixture enters three subperiods: 10,000 to 11,000, 16,000 to 15,200, and 12,000 to 12,600. The jumps between rows represent external cash-flow boundaries rather than investment returns.
The three returns are +10%, −5% and +5%. Their growth factors are 1.10, 0.95 and 1.05.
Geometric linking gives 1.10 × 0.95 × 1.05 = 1.09725. Subtracting one produces a cumulative time-weighted return of +9.7250%.
How to interpret the result
- Audit every boundary first. The ending value must be immediately before an external flow and the next beginning value immediately after it.
- Read the primary percentage as cumulative for the entered rows, not per year, per month or per trade.
- Use the growth factor to reproduce the result independently. A factor below one is a cumulative loss; above one is a cumulative gain.
- Treat best and worst rows as descriptive extrema from the entered sequence, not estimates of future upside or downside.
- Keep fees and financing inside account values only if that is the consistent performance convention being evaluated.
- Compare TWR with money-weighted return only after recognizing that TWR removes external-flow timing while MWR intentionally reflects it.
Choose the return method that matches the available records
These tools share one governed input and presentation layer, but the outputs are not interchangeable. TWR removes external-flow timing, MWR reflects the investor’s cash-flow experience, and Modified Dietz estimates one period when every boundary valuation is unavailable.
| Method | Records required | Output basis | Cash-flow treatment |
|---|---|---|---|
| Time-weighted return | Values around every external flow | Cumulative, not annualized | Removes external-flow timing |
| Money-weighted return | Signed investor flows with dates and terminal value | Annualized XIRR | Reflects flow size and timing |
| Modified Dietz | Period values plus dated account flows | Period estimate, not annualized | Daily-weighted approximation |
Assumptions and limitations
- No broker statement, account, price feed, valuation timestamp, deposit, withdrawal or transfer ledger is connected.
- A complete, consistent valuation is required immediately around every external cash flow; missing boundaries are not estimated.
- The result is cumulative and not annualized. Row order carries no date or duration information.
- Currency conversion, fees, financing, rebates, taxes and internal-versus-external flow classification depend on the entered statement values.
- The calculation is not a GIPS compliance assessment and does not select a firm, fund or reporting policy.
- No strategy, account, return target, deposit schedule, withdrawal decision or trade is recommended.
Sources and methodology
The arithmetic is independently fixture-tested. These primary references define the formulas and conventions; they do not verify the user’s account values, cash-flow classifications, statement policy, performance quality or future outcome.
- GIPS Standards Handbook for Firms — Time-Weighted Returns — CFA Institute guidance on external cash flows, subperiod valuation and geometric linking.
- GIPS Standards Handbook for Asset Owners — CFA Institute discussion of true TWR calculation and cash-flow valuation boundaries.
- GIPS Guidance Statement on Calculation Methodology — Published calculation methodology distinguishing precise valuation methods from cash-flow-weighted approximations.
Frequently asked questions
- It is a geometrically linked sequence of subperiod returns split at external cash-flow boundaries, so the timing and size of deposits and withdrawals do not become investment performance.
- Those two valuations isolate the transfer from market performance. Without them, a deposit can look like profit and a withdrawal can look like loss.
- No. Enter the account value immediately before the flow as one row’s end and immediately after the flow as the next row’s start.
- No. Version 1.0.0 links the entered subperiods and returns one cumulative percentage without assuming dates or a year length.
- Returns compound on changing values. Multiplying each one-plus-return factor preserves that path, while simple addition can overstate or understate the combined result.
- Only if the account is also valued around each external flow. A monthly row containing an unadjusted deposit or withdrawal is not cash-flow neutral.
- Not necessarily. Money-weighted return reflects the timing and size of investor cash flows; TWR intentionally removes that timing effect.
- No. It performs one arithmetic method only and does not assess valuation, fee, composite, disclosure, verification or reporting requirements.
Continue from cash-flow-neutral return to account diagnostics
Verify statement, cost and account conventions
Before comparing account performance, confirm how the broker statement timestamps deposits and withdrawals, records balance versus equity, includes spread, commission, financing and rebates, and converts values into the account currency.
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