Calculation of TTWROR p.a.?

English
1

Hello,

I have a share with a TTWROR of 26.17% over one month (8 April, 8 May). A purchase on 8 April, a dividend on 2 May and a calculation on the evening of 8 May.
PP gives me a TTWROR p.a. of 16.52%, which I don’t understand.
The formula for going from TTWROR to TTWROR p.a. is 1.2617^(365/30) -1 = 15.91606 or 1591.60%.
That’s a long way from 16.52%.
Where did I go wrong?
Thank you

2

Details and the exact math can be found here: Time-Weighted Rate of Return - Portfolio Performance Manual

3

I know this passage from the manual, I use the mathematical formula given for a monthly TTWROR and the result is not consistent.
In the manual, for 2% TTWROR over a month we get a p.a. of 26.26%.
I have a TTWROR of 26.17% over a month and I should have a P.A. of 1591.60%, whereas PP shows me 16.52% …

4

Hello, are you sure that the reporting period over which the TWR p.a is calculated is only limited to the last month ? If the purchase on 8th April is the first purchase, the cumulative 26.17 % is the same over the month, over the last year etc. And the TWR p.a will depend if you calculate it on the last month only, or over the last year etc.
It looks like annualized over ~555 days, do you have perhaps a reporting period from 1st november 2023 ?

1 Like
5

Thank you Veterini, I’ve just learned something.
My reporting period is in fact set at 1 November 2023 and from reading you I understand that the TTWROR p.a. is calculated on the basis of this reporting period. What’s more, when we change the reporting period we see that the cumulative TTWROR and the IRR do not change, but that the TTWROR p.a. does change automatically depending on the reporting period chosen.
I’ve just tested this by choosing a reporting period starting on 8 April 2025 and my TTWROR p.a. is correct this time.
I have to admit that this reporting period always poses a problem for me because I never really know which one to choose for my investments, which began on different dates: the first in 2008, then 2023, 2024 and 2025 in different vehicles (stock market, life insurance, property, etc.). Sometimes I think I should take the earliest date (2008) to reflect reality, but I have my doubts. What do you recommend?
Thank you very much for this welcome insight.

6

@Veterini
I understand the mathematical technique but I don’t understand what it provides investors in terms of information on the performance of their investments ???