PortTWR — What Is It?
A measure of investment performance itself, unaffected by contributions and withdrawals.
Explanation
TWR answers the question "how well did my investments perform?" rather than "how much money did I make?" It divides the portfolio's history into segments between cash flows and multiplies their returns, making the timing of contributions irrelevant.
This allows TWR to be fairly compared with an index, as an index also doesn't receive contributions. XIRR tells you how much you earned; TWR tells you how much your strategy earned.
Example
Your portfolio grows by 10%, then you add a significant amount of funds, and the market drops by 5%. XIRR will be poor because most of the capital experienced the decline. TWR will show the performance of the investments themselves: 1.10 × 0.95 − 1, which is approximately +4.5%.
Related Terms
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Portevo is not an investment advisor. The data and analyses are for informational and educational purposes only and do not constitute a recommendation or an offer to buy or sell financial instruments. Quotes are from external providers and may be delayed. You make investment decisions at your own risk.
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