Time-Weighted Return (TWR)
The TWR is calculated and displayed on the following levels:
- Instrument level (via the investor account Statement)
- Account level (via the Returns card on an investor account)
- Model portfolio level (via the Model Portfolio)
The TWR calculations is based on the following:
| TWR Level | Currency for Market Value & Cash Flow Movement | Historical transaction types used for Cash Flows |
|---|---|---|
| Model Portfolio | Preferred system currency | Is cash flow event |
| Account | Preferred system currency | Is cash flow event |
| Instrument | Instrument currency | Is cash flow event & Is instrument cash flow event |
Instrument level
(via the investor account Statement)
- Navigate to an account
- From the Current Holdings card -> More Actions -> Statement -> Instrument performance section
- Performance for period (TWR For Period)
- Annualised performance (TWR Annualised)
- For more details refer to Investor Statements
- Refer to the sample calculation
Account level
(via the Returns card on an investor account)
- Navigate to an account
- From the Returns card -> View Details -> Investment Return section
- TWR Annualised
- TWR For Period
- Refer to the sample calculation
Model portfolio level
(via the Model Portfolio)
- Navigate to the model portfolio, Instruments -> Model Portfolios
- Select the model portfolio -> Model Portfolio card -> More Actions -> Returns report
- From the Returns card -> View Details -> Investment Return section
- TWR for period
- TWR annualised
- We show both the total TWR for the Model as well as a list of the individual TWR’s per account
- Refer to the sample calculation
Last Updated on 3 years ago by Tinus Burger