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    Title Page
    Copyright Page
    Dedication
    Acknowledgements
    Chapter 1 - Introduction
    Chapter 2 - The Mathematics of Portfolio Return
    SIMPLE RETURN
    MONEY-WEIGHTED RETURNS
    TIME-WEIGHTED RETURNS
    TIME-WEIGHTED VERSUS MONEY-WEIGHTED RATES OF RETURN
    APPROXIMATIONS TO THE TIME-WEIGHTED RETURN
    HYBRID METHODOLOGIES
    WHICH METHOD TO USE?
    SELF-SELECTION
    ANNUALISED RETURNS
    CONTINUOUSLY COMPOUNDED RETURNS
    GROSS- AND NET-OF-FEE CALCULATIONS
    PORTFOLIO COMPONENT RETURNS
    BASE CURRENCY AND LOCAL RETURNS
    Chapter 3 - Benchmarks
    Chapter 4 - Risk
    Chapter 5 - Performance Attribution
    Chapter 6 - Multi-currency Attribution
    Chapter 7 - Fixed Income Attribution
    Chapter 8 - Multi-period Attribution
    Chapter 9 - Further Attribution Issues
    Chapter 10 - Performance Measurement for Derivatives
    Chapter 11 - Performance Presentation Standards
    Appendix A - Simple Attribution
    Appendix B - Multi-currency Attribution Methodology
    Appendix C - EIPC Guidance for Users of Attribution Analysis
    Appendix D - European Investment Performance Committee – Guidance on Performance Attribution Presentation
    Appendix E - The Global Investment Performance Standards
    Appendix F - Guidance Statement on Composite Definition
    Appendix G - Sample Global Investment Performance Standards Presentation
    Appendix H - Calculation Methodology Guidance Statement
    Appendix I - Definition of Firm Guidance Statement
    Appendix J - Treatment of Carve-outs Guidance Statement
    Appendix K - Significant Cash Flow Guidance Statement
    Appendix L - Guidance Statement on Performance Record Portability
    Appendix M - Guidance Statement on the Use of Supplemental Information
    Appendix N - Guidance Statement on Recordkeeping Requirements of the GIPS Standards
    Appendix O - Useful Websites
    Bibliography
    Index
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    TIME-WEIGHTED RETURNS

    True time-weighted

    Time-weighted rate of returns provide a popular alternative to money-weighted returns in which each time period is given equal weight regardless of the amount invested, hence the name “time-weighted”.
    In the “true or classical time-weighted” methodology performance is calculated for each subperiod between cash flows using simple wealth ratios. The subperiod returns are then chain linked as follows:
    (2.18)
    033
    where: Vt is the valuation immediately after the cash flow Ct at the end of period t.
    Since (Vt - Ct)/Vt-1 = 1 + rt is the wealth ratio immediately prior to receiving the external cash flow, Equation (2.18) simplifies to the familiar Equation (2.6) from before:
    (1+ r1) × (1 + r2) × (1 + r3) ×···(1 + rn-1) × (1 + rn ) = (1+r)

      

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