Jump to content

How to Calculate Exact Time Weighted Returns in Excel?


Recommended Posts

I downloaded Bogle's spreadsheet but the formulas are hard to wrap my head around. Additionally, it uses only month end values, and I'd like to be precise and use daily values. If anyone can provide a formula or even spreadsheet that illustrates the calculations in simple terms, I'd much appreciate it. Thank you!

Link to comment
Share on other sites

Time weighted returns are easy, maybe you mean something else?


Anyway, Time weighted returns are just the simple returns strung together for each period:


TWRR = (1+SRR1)*(1+SRR2)*...(1+SRRn)


Money/time weighted returns can be calculated via XIRR in a spreadsheet.

Link to comment
Share on other sites

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now
  • Create New...