Benchmarking Returns

Free CFA Level I lesson in Quantitative Methods. 12 min read, ~1,851 words.

MWR = IRR of all portfolio cash flows. Reflects the investor's dollar-weighted experience and rewards or punishes the manager for client timing decisions. TWR geometrically chains sub-period returns, stripping out cash flow timing. It is the GIPS-required measure for manager comparison. Price-weighted (DJIA): sum of prices divided by a divisor...