TTWROR percentage

[ganesa2242]

Hello!
I was wondering if anyone can help me to understand the following.
As you can see in the screenshot below, there are two squares (sorry it’s in French but you can understand it the same).
Hovering my mouse over the first square, the help indicates that to calculate the yearly returns, the annualized TTWROR is used. But the second square, that shows the annualized TTWROR, shows another figure.
So I am not sure to understand. Can anyone help?
Thanks!

[Sn1kk3r5]

Hi,

if you look arround in the forum you’ll find multiple answers to your question, for instance:

TTWROR p.a. explanation

HI can you help me to understand the meaning and the calculation regarding TTWROR p.a. ? I red the manuals and understood how is calculated for the cum. way, but i don’t understand it in the p.a. version. thanks

TTWROR incorrect percentage

I have been trying for days to understand this number… where is that 17.08% full return coming from??? I spent 41,679.14 and I have now 47,079.89… there should be a 12.96% full return, not 17.08%. Can anyone explain? Thanks. [06%20PM]

Annualized TTWROR

Dear colleagues, under Reports → Performance → Securities, the column TTWROR is showing a wrong value for one of my instruments (FR0010251744). I bought 54 shares of this ETF on 24th Jan. 2017 at 91,65 EUR and now is at 94,40. Considering the 6 dividends payments of 540 EUR total (-113,51 EUR taxes), I get an Abs. Perf. for the last 3 years of 11,28% (correct) and an IRR of 4,59% (correct) but a TTWROR of 13,86%, which does not make any sense at all. Can anybody tell me what is it happening? …

They all contain a lot of usefull informations.

Same as this one:

Guide on getting started

Guide on getting started TLDR; Install application, create and configure securities and accounts, reporting, taxonomies and general data. Installing the application Portfolio Performance is primarily targeted at a German speaking audience. Therefore, the application’s website is in German. If you aren’t fluent in German, you can use Google translate to understand what is written in the page. The image below shows where you need to click in order to download the application for your operating…

[ganesa2242]

Hi,

Thanks a lot for your answer. I could be wrong, but I don’t think these threads answer my question. I did read them before opening this post. My question is about the discrepancy between 2 figures that are supposed to be the same, except if there is something that I don’t understand, though my question.
Thanks!

[Veterini]

Hello,

Quelle est la période considérée pour le widget qui donne 52.26 % ? 2024 ? Year to Date ?

[ganesa2242]

Hello Veterini,

Thanks for your answer (I am answering in English as I opened the post in the English section). I did not know it could be set this way. “période” is 1 year. It shows 30 oct. 2023/30 oct. 2024. I guess it’s the same for the yearly returns in heat map (96%). For the monthly one it is the same period. And summing the monthly figures, I have 71.8%, but perhaps it’s not calculated using the TTWOR?

[Veterini]

Hello Ganesa,

All are TTWROR for sure

Hmm I think this could be a translation/imprecision in the tooltip.
For yearly heatmap : I think this is not the annualized value, but the cumulative value of the full year, whatever the reporting period selected :

• for 2023 : all of 2023 even if the reporting period start from Oct 2023
• for 2024 : all of 2024 = cumulative from the start of the year 2024 until end of year = cumulative from the start of the year until now as nov/dec have 0% perf.

The cumulative widget with 150% should gives 96.1% when set to 2024 or YTD reporting period. 150% with 30 oct23-30oct24 is including the performance from 1st nov 23 to 31dec 23, which are not included in your 96%.

Regarding the sum and “71.8%” ; you cannot sum directly. To go from monthly to the year, you have to multiply:
(1+12.9/100)*(1+12.2/100)*(1+6.5/100)*…=1.129*1.122*1.065*…=1.96=1+96/100=+96%
You can make the 96% value appear in the monthly widget if you select Ornament/Sum option.

By the way, you have hidden in black a data series, but which is not present for the 52.26% widget, so this widget is calculated for the whole portfolio, not the data series.

I think the translation can be updated. “taux de rendement annuel” → “taux de rendement de l’année” ? “taux de rendement de chaque année” ? other idea ? In English it is : "Yearly rate of return displayed as heatmap

To calculate the yearly rate of return, the true-time weighted rate of return (TTWROR) is used."

[ganesa2242]

Hello Veterini,

thank you so much for your detailed answer!!!

@Veterini

By the way, you have hidden in black a data series, but which is not present for the 52.26% widget, so this widget is calculated for the whole portfolio, not the data series.

You’re very clever and attentive!!! Indeed, you’re right and not having the same data series does not help to get the same results! I fixed this.

@Veterini

The cumulative widget with 150% should gives 96.1% when set to 2024 or YTD reporting period.

Here, I am not sure to understand how to set this in PP. I can select 1 year, 2 years, 3 years, but I don’t know where I can decide to use YTD or another timeframe.

The tooltip for the Yearly returns gives me the following:

(for some reason, the data series does not display in the tooltip, but anyway)
And the tooltip for the TTWROR gives me this:

So it seems to me that the period is the same for both widgets: 31/10/2023 to 31/10/2024.
So, yes in this case the issue is perhaps in the wording. In French, could it be “Taux de rendement en glissement annuel”?
Again, just to be sure my understanding is correct:
Year to date (for 2024): from 01/01/2024 to 31/10/2024 (in French cumul annuel)
2024 annualized: (01/01/2024 to 31/12/2024)/365 (in French annualisé)
Year over year: 01/11/2023 to 31/10/2024 (in French en glissement annuel)

And if I’ve understood correctly, the Yearly heatmap would be on a Year over year basis and the TTWROR would be annualized, hence the difference, is that correct?

@Veterini

Regarding the sum and “71.8%” ; you cannot sum directly.

Thank you very much for the explanation. I obviously wasn’t at the math skills distribution day!

Merci pour votre aide et votre patience Veterini!

[chirlu]

@ganesa2242

So it seems to me that the period is the same for both widgets: 31/10/2023 to 31/10/2014.

Yes, but the heatmap always considers whole months.

@ganesa2242

Year to date (for 2024): from 01/01/2024 to 31/10/2024 (in French cumul annuel)
2024 annualized: (01/01/2024 to 31/12/2024)/365 (in French annualisé)

In PP, it’s always from end-of-day of the given date. So you’ll need to start from 2023-12-31 if you want to include January 1st.

[Veterini]

@ganesa2242

Here, I am not sure to understand how to set this in PP. I can select 1 year, 2 years, 3 years, but I don’t know where I can decide to use YTD or another timeframe.

You should have a “New…” and “Manage…” option as well to configure whatever périod you want. As in Figure 3 in the link below :

Reporting period - Portfolio Performance Manual

If you use “2024” or “YTD” for the TWR cumulative, you will find the 96%. But “2024” or YTD for the TWD annualized should not give 96%.
Heatmap is not using annualized value so it will not match thé annualized TWR in your case. But with the cumulative one it will always match.

The définition of the reporting period directly impact the widget TWR cumul or annualized, but in the heatmap case it is only defining the years to consider. Heatmap 1stFeb23 to 20 Déc 24 will give the same result as Heatmap 30 déc 23 to 5 Jan 24 : result will be the cumulative TWR for 2023 and thé cumulative for 2024. Not annualized.

[ganesa2242]

Thank you Veterini and Chirlu!