Time Weighted Return
Measure true performance without cash flow bias
Why TWR? Simple ROI is misleading when you add/remove money. Deposit $50K before a crash? Your ROI tanks even if you picked good assets. TWR eliminates this timing bias by measuring each sub-period separately.
Sub-Periods
Enter portfolio value at start and end of each sub-period (between cash flows)
| Period | Start Value ($) | End Value ($) | Period Return |
|---|
Add sub-periods to calculate TWR
TWR Formula
Results
Industry standard method for performance reporting
TWR vs MWR: When to Use
Time Weighted Return (TWR)
- • Eliminates cash flow timing effects
- • Best for comparing investment managers
- • Shows pure investment selection skill
- • Industry standard (GIPS)
Money Weighted Return (MWR)
- • Reflects actual dollar returns
- • Includes timing of your decisions
- • Shows your personal experience
- • Also called IRR
TWR FAQ
Example: Why TWR matters
You have $10K, it goes to $12K (+20%). You add $90K. Market drops 10%, now $91.8K. Simple ROI: -8.2%. TWR: +8% (20% × -10%). Big difference!
How often should I calculate periods?
Create a new period whenever you deposit or withdraw. Daily valuation is ideal but monthly works for most portfolios.
What about staking rewards?
Rewards earned are NOT cash flows - they're performance. Include them in your end-of-period value. Only external transfers count.
My TWR is higher than my actual gain?
Possible if you added money before poor periods. Your timing hurt actual returns but TWR shows the underlying performance was better.
Can I use TWR for single assets?
Yes, but it's more useful for portfolios with cash flows. For a single asset held without adding/removing, TWR = simple ROI.
Do crypto trackers use TWR?
Some do (CoinTracker, Kubera). Many show simple ROI which can be misleading. Always check which method they use.
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