Time Weighted Return Calculator
Calculate linked time weighted returns from period values and end cash flows, then compare them with a simple cash flow adjusted return.
Earlier editorial review
- Reviewed
- 2026-09-25
- Methodology
- 1.1
Sources
How it works
Create one row for each interval between external cash flows. Enter its start value, end value after the end cash flow, and the cash flow amount. Use a positive amount for a deposit and a negative amount for a withdrawal. Income retained inside the portfolio is part of investment performance, not an external flow.
For each row, the calculator subtracts the end cash flow from the end value, divides by the start value, and subtracts one. It then multiplies the period growth factors to get TWR. This timing convention requires a valuation at each flow boundary. It does not neutralize an unvalued flow within a period.
The table shows the start value, end value, holding period return, and cumulative linked return for each row. Total invested is the initial value plus recorded deposits. Simple return also includes withdrawals in ending proceeds; it is a comparison measure, not an internal rate of return.
Use values from the same account and consistent valuation basis. Correct any cash flow or valuation before comparing results. Rows must connect because each period starts at the prior end value.
Step by step
- Enter the portfolio start value, end value, and cash flow for each period.
- Check that end flows use the correct sign and the rows connect.
- Review the linked return, simple return, and period table.
Worked example
Enter a first period start value of 100, end value of 160, and end cash flow of +50. The end value includes the deposit, so the value before the flow is 110 and the period return is 10%. Start the next period at 160, enter an end value of 144, and use no cash flow. The second period return is −10%.
Linking the returns gives a time weighted return of −1%. Total invested is 150 and final value is 144, so the simple cash flow adjusted return is −4%. These figures use the same period values but answer different questions about performance and contributed capital.
When to use this calculator
Use this calculator to link consecutive period returns when the portfolio is valued at each external cash flow boundary. Compare with the simple cash flow adjusted return to see how the two measures differ.
Choose Money Weighted Return when you need a measure that uses the amount and timing of dated investor cash flows. This calculator does not infer dates from entered values.
Common mistakes
Do not enter a flow without a valuation at that boundary. Split the period and use a value immediately before the flow so the end flow can be removed from the period return.
Do not mix values before fees with values after fees, or count income retained in the portfolio as an external deposit. Keep one valuation basis and record only flows into or out of the measured portfolio.
The Formula
HPR_i = (EndValue_i − EndCashFlow_i) / StartValue_i − 1
TWR = Π(1 + HPR_i) − 1
Annualized TWR = (1 + TWR)^(1 / TotalYears) − 1
Simple return = (FinalValue + Withdrawals − InitialValue − Deposits) / (InitialValue + Deposits)
Each end value includes its end cash flow. Positive flows are deposits and negative flows are withdrawals. The next period starts at the prior period end value. This convention is valid only when the portfolio is valued at each cash flow boundary. Annualization uses the entered duration for the full sequence.
Limitations and assumptions
The method assumes each external cash flow occurs at the entered period end and the portfolio is valued at that boundary. It does not infer dates or intraperiod timing, or account for fees, taxes, missing valuations, or inconsistent valuation methods. Periods must form one continuous sequence. Annualization assumes the entered positive duration covers the full sequence.
Key terms
- Time Weighted Return
- The geometric linking of period returns after removing the end cash flow from each ending value.
- Simple return
- The total cash flow adjusted gain divided by the initial value plus recorded deposits.
- End value after cash flow
- The value at a period end after adding or subtracting that period's external cash flow.
Compare alternatives
Money Weighted Return includes the amount and timing of investor cash flows in its result. Time Weighted Return links sub period performance after removing each period end cash flow from the ending value.
Use Money Weighted Return for a dated cash flow comparison. Sharpe Sortino Ratio and Maximum Drawdown describe different aspects of risk and losses.
FAQ
What is Time Weighted Return?
Time Weighted Return geometrically links the return for each period after removing the cash flow recorded at that period end. It describes the sequence of period returns for the entered valuations. It does not identify investment skill or remove the effect of flows that were not valued at a period boundary.
Why does TWR differ from simple return?
The calculator's simple return uses total invested capital as its denominator and includes withdrawals in ending proceeds. Time Weighted Return instead links each period return after removing its end cash flow. Different cash flow amounts and timing can therefore produce different results.
How is TWR calculated?
For each row, the model calculates (end value minus end cash flow) divided by start value, then subtracts one. It links these returns geometrically. A positive end cash flow is a deposit and a negative one is a withdrawal. The next row must start at the prior row's ending value, which includes that prior cash flow.
Can I use negative cash flows for withdrawals?
Yes. Enter a deposit as a positive value and a withdrawal as a negative value. The end value is after the cash flow, so subtracting a negative withdrawal restores the value immediately before that withdrawal for the period return calculation.
When would TWR equal simple return?
They match when the cash flow adjusted total gain divided by total invested equals the geometrically linked period return. With no cash flows and connected valuations, they match apart from rounding. With flows, equality is possible but not guaranteed.
Related Tools
Use Money Weighted Return to compare the result that includes dated investor cash flows. Sharpe Sortino Ratio and Maximum Drawdown provide separate volatility and loss measures.