Question

A bond portfolio has the following values at the end of each of the last five months (in $mln): 10.02,10.137,10.228,10.07, and 10.52. What is the annualized time-weighted rate of return?

Answer 1

We can compute time weighted rate of return (TWRR) with following equation :

where,

r = return in each period

n = number of period

And,

Annualized TWRR can be computed with following equation :

where,

n = number of years

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

Hope this will help, please do comment if you need any further explanation. Your feedback would be highly appreciated.