On the Relation Between Money- and Time-Weighted Rates of Return and its Implications
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On the Relation Between Money- and Time-Weighted Rates of Return and its Implications
John E. Woods, Ph.D.
In this article, the author derives a relation between the money-weighted rate of return achieved by an investment portfolio over T periods and the time-weighted rate of return in each period. The results are illustrated and the implications, which turn out to be quite wide-ranging, are discussed.
On the Relation Between Money- and Time-Weighted Rates of Return and its Implications
John E. Woods, Ph.D.
In this article, the author derives a relation between the money-weighted rate of return achieved by an investment portfolio over T periods and the time-weighted rate of return in each period. The results are illustrated and the implications, which turn out to be quite wide-ranging, are discussed.
