MONEY WEIGHTED RATE OF RETURN (MWRR)
MWRR is the most common method used to calculate the performance of an investment fund. As opposed to TWRR, the client’s interest is in evaluating the effective return of a fund and therefore taking into account not only how good a fund manager is, but also how many transactions he/she makes in the period under observation.
If "F" represents the net cash transactions recorded during the related time period (t0, T); V (t0) the initial value of the fund; V (T) the value of the fund at the end of the period of observation; the average capital the client has invested, then MWRR is equal to:
Editor: Mirko IORI
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