money-weighted rate of return (MWRR) vs. time-weighted rate of return (TWRR)

  투자 기간 동안에 Fund의 투자 성과를 파악하는 테크닉

MWRR과 TWRR을 구하는 방식을 알아보겠다.

 

actual return achieved by the fund over the period[0,T]

The money-weighted rate of return (MWRR)

금액가중수익률

 

 represents the yield (or IRR) earned by the fund over the specified period.

Suppose that we are assessing the performance of a fund over the period [0, T ].

Assume that the value of the fund at time 0 (i.e. at the start of the period) is F(0), and that the value of the fund at time T (i.e. at the end of the period) is F(T).

Also, suppose that the fund has net cash flows (i.e. difference between income and outgo) of amounts C(t1),C(t2),...,C(tn) at times 0 ≤ t1 < t2 < ... < tn ≤ T respectively.

 

 

 

The time-weighted rate of return (TWRR)

시간가중수익률

 

To calculate the TWRR, we also require the value of the fund immediately before each

cash flow

0과 T 시점 뿐만 아니라 각각의 현금 흐름 시점의 직전 펀드의 가치를 알아야 한다. 

 

 

 

예시문제를 풀어보겠다