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How to Calculate Exact Time Weighted Returns in Excel?


Mephistopheles
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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!

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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.

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