Time-weighted return

The time-weighted return (TWR) is a method of calculating investment return. To apply the time-weighted return method, combine the returns over sub-periods, by compounding them together, resulting in the overall period return. The rate of return over each different sub-period is weighted according to the duration of the sub-period. The time-weighted return (TWR) is a method of calculating investment return. To apply the time-weighted return method, combine the returns over sub-periods, by compounding them together, resulting in the overall period return. The rate of return over each different sub-period is weighted according to the duration of the sub-period.