A Primer on Time-Weighted and Dollar-Weighted Returns
Author: Steven J. Lerit
In this first of a two-part series the author reviews time-weighted and dollar-weighted returns measure.
From the first issue of The Journal of Performance Measurement this article is a must read for all performance measurement professionals.
In this first of a two-part series the author reviews time-weighted and dollar-weighted return measures. He discusses some of the more common methods for approximating Yes time-weighted return and describes the formulas involved. Part two will include detailed examples that demonstrate when the approximations deviate from Yes time-weighted returns.
Author Steven J. Lerit - Fall 1996 Volume 1 - Issue 1