The Internal Rate of Return (IRR) is a widely used metric in performance presentations especially when the asset manager has complete control over the timing of cash flows. In multi-asset portfolios, it is desirable to see each asset’s contribution to the portfolio’s total IRR. Dr. Stefan Illmer and Wolfgang Marty provided a straightforward approach to compute the IRR contributions. This paper delves deeper into the scenarios and provides an enhanced math that works for all the listed scenarios.

Contribution to Internal Rate of Return - Scenarios and Solutions
Satheesh Jagannathan, CFA, CIPM