時間加權回報率（TWRR）計算器

分類： Uncategorized
- August 31, 2026
| |

Calculate the Time-Weighted Rate of Return (TWRR) to measure investment performance independent of the timing and amount of cash flows, ideal for comparing portfolio managers and investment strategies

Investment Period Parameters

Portfolio Valuation & Cash Flows

Date
組合價值
Cash Flow
Action
$
$
Initial
$
$

Time-Weighted Rate of Return Results

Total Time-Weighted Return
12.48%
Total return over 365 days
Annualized TWRR
12.48%
Equivalent annual return
Total Investment Period
1.00 years
365 days
Inflation-Adjusted TWRR
9.74%
Real return after inflation
基準比較
+2.48%
Outperformance vs benchmark
Total Net Cash Flow
$1,500.00
Sum of all deposits and withdrawals

Period Returns Breakdown

Cumulative Return Analysis

Sub-Period Analysis

週期 Start Date End Date Start Value End Value Cash Flow Return

Investment Return Comparison

TWRR vs Money-Weighted Return

TWRR 12.48%
MWRR (IRR) 11.32%
Difference +1.16%

The difference between TWRR and MWRR indicates the impact of your cash flow timing on returns.

A positive difference suggests your cash flows were timed favorably relative to performance.

Performance vs Benchmark

Portfolio TWRR 12.48%
Benchmark Return 10.00%
Alpha +2.48%

Alpha represents your portfolio's excess return compared to the benchmark.

Positive alpha indicates outperformance, negative indicates underperformance.

Understanding Time-Weighted Rate of Return (TWRR)

The Time-Weighted Rate of Return (TWRR) measures investment performance independent of the timing and amount of cash flows. It's designed to evaluate the effectiveness of investment decisions by portfolio managers and strategies, regardless of when clients add or withdraw funds.

How TWRR Works

  • Geometric Linking: TWRR links together the returns of individual sub-periods, eliminating the effects of cash flows.
  • Cash Flow Neutrality: Unlike money-weighted returns (IRR), TWRR isn't affected by the timing or size of external cash flows.
  • Equal Weighting: Each sub-period is weighted equally, regardless of the invested amount during that period.
  • Industry Standard: TWRR is the preferred performance metric for evaluating investment managers and comparing strategies.

When to Use TWRR

  • Manager Evaluation: Best for evaluating portfolio managers since it isolates their investment decisions from client cash flow timing.
  • Strategy Comparison: Ideal for comparing investment strategies or funds on an equal basis.
  • Benchmark Comparison: Most appropriate for comparing your returns against market benchmarks.
  • Long-term Analysis: Provides a clearer picture of long-term investment performance across multiple periods.

TWRR Formula

The Time-Weighted Rate of Return is calculated by:

TWRR = [(1 + r₁) × (1 + r₂) × ... × (1 + rₙ)] - 1

Where r₁, r₂, ..., rₙ are the returns for each sub-period between cash flows.

For each sub-period, the return is calculated as:

r = (End Value - Start Value - Cash Flow) / (Start Value)

TWRR vs Money-Weighted Return

Feature Time-Weighted Return (TWRR) Money-Weighted Return (IRR)
Cash Flow Sensitivity Not affected by cash flow timing Significantly affected by cash flow timing
Primary Use Evaluating investment managers Personal investment performance
計算方法 Geometric linking of sub-period returns Internal Rate of Return (IRR) calculation
Best For Comparing strategies or managers Understanding actual investor experience

本工具計算什麼

時間加權回報率——剔除存款與提款影響後的表現。

公式
TWRR =［(1 + r₁)(1 + r₂)…(1 + rₙ)］− 1，每個 r 為兩次現金流之間的期間回報
計算示例
兩個期間分別回報 5% 及 −2%，則（1.05 × 0.98）− 1 = 2.9%，與期間增減資金無關。
何時使用
評估策略本身的表現，與資金進出決策分開來看。
常見錯誤
TWRR 並非帳戶的實際回報。若在下跌前加注，實際回報會差於 TWRR 所示。