Time Weighted Return Calculator
Chain sub-period returns to measure investment performance independently of cash flow timing.
About Time Weighted Return Calculator
Time-weighted return links sub-period returns geometrically, which removes the effect of deposit and withdrawal timing. It is the standard for judging a manager, because they do not control when clients add money. The arithmetic average always overstates realised growth when returns vary, and the gap — volatility drag — widens with the size of the swings.
Formula
Time Weighted Return
TWR = (1 + r₁)(1 + r₂)…(1 + rₙ) − 1
- TWR
- Return of the portfolio itself, unaffected by when money was added or withdrawn
- volatility drag
- Gap between the arithmetic average and the compounded result
Worked example
With the default values below, Time Weighted Return Calculator returns Time-Weighted Return of 23.089%. Change any input above and every figure here is recalculated in your browser.
Inputs used
- Period 1 returnaccepts -100–200 %
- 8 %
- Period 2 returnaccepts -100–200 %
- -4 %
- Period 3 returnaccepts -100–200 %
- 12 %
- Period 4 returnaccepts -100–200 %
- 6 %
Results
- Time-Weighted Return
- 23.089%
- Annualised Return
- 5.331%
- Arithmetic Average of the Periods
- 5.500%
- Drag From Volatility
- 0.169%
- Growth Multiple Over the Periods
- 1.2309
Step by step
- 1Values used
- 2Time Weighted Return
- 3Time-Weighted Return= 23.089
- 4Annualised Return= 5.331
- 5Arithmetic Average of the Periods= 5.500
- 6Drag From Volatility= 0.169
- 7Growth Multiple Over the Periods= 1.2309
Assumptions and limits
- The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
- In particular, this calculator does not take inflation, tax or fees or charges into account.
- Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
- This is an estimate for general information and not professional financial, tax or legal advice. See the full disclaimer for the limits that apply to this kind of calculator.
How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.
Frequently Asked Questions
How is Time Weighted Return calculated?
TWR = (1 + r₁)(1 + r₂)…(1 + rₙ) − 1 Time-weighted return links sub-period returns geometrically, which removes the effect of deposit and withdrawal timing. It is the standard for judging a manager, because they do not control when clients add money.
Why does Time Weighted Return matter?
The arithmetic average always overstates realised growth when returns vary, and the gap — volatility drag — widens with the size of the swings.
What values do I need to enter?
This calculator takes 4 inputs: Period 1 return, Period 2 return, Period 3 return, Period 4 return. The pre-filled defaults are a realistic starting point — replace them with figures from your own environment for a result you can act on.