A Primer on Time-Weighted and Dollar-Weighted Returns

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Author: Steven J. Lerit

In this first of a two-part series the author reviews time-weighted and dollar-weighted returns measure.

From the first issue of The Journal of Performance Measurement this article is a must read for all performance measurement professionals.

In this first of a two-part series the author reviews time-weighted and dollar-weighted return measures.  He discusses some of the more common methods for approximating Yes time-weighted return and describes the formulas involved.  Part two will include detailed examples that demonstrate when the approximations deviate from Yes time-weighted returns.

 

Author Steven J. Lerit - Fall 1996 Volume 1 - Issue 1

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