TWRR array function
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| What the name means | "Time-Weighted Rate of Return" |
| Syntax | TWRR ( FromDate_s, ToDate_s, Dates, CapVals, [NetIncomes], [CapExps], [CapRecs], [TWRRSwitch], [TWRROptions] ) |
| Description | |
| Array Function | This function is an array function, returning an array of values as described in the description or narrative of this function. If you don't input as an array function (Ctrl-Shift-Enter in Excel) the first element of the array only wil be returned. Business Functions has a menu option 'Array Tools', which is helpful in expanding and collapsing array functions across ranges. |
| Variable | Type or Value | Description | |
|---|---|---|---|
Inputs: (9) | |||
| FromDate_s | Range Of Dates | One date or a range of dates from which you want a calculations to run | |
| ToDate_s | Range Of Dates | One date or a range of dates up until which you want a calculations to run | |
| Dates | Range Of Dates | A range of dates. | |
| CapVals | Range of Floats (numbers) | Capital Values | |
| 5 | NetIncomes | Range Of Floats (Optional) | Net Incomes (Optional) |
| 6 | CapExps | Range Of Floats (Optional) | Capital Expenditures AS A POSITIVE NUMBER (don't make expenditure negativ) (Optional) |
| 7 | CapRecs | Range Of Floats (Optional) | Capital Receipts (Optional) |
| 8 | TWRRSwitch | Integer (Optional) | What type of TWRR you want (Optional) |
| 9 | TWRROptions | Integer (Optional) | Options relating to the TWRR calculation (additive) eg 1=annualise returns (Optional) |
Output: | |||
| Return Value | Returns | Range of Floats (numbers) | The Returns in each period |
Defaults and Values
The variable(s) of this function have certain defaults and/or switch values associated with them. Click here to see more.
Range Handling and Constraints
This function has range inputs that are subject to range handling procedures to help reduce input errors and increase flexibility and speed. Click here to see more.
| Why this is an Array Function Very often you will want to compute the TWRR for a range of times, so the function returns a TWRR for each of the pairs of FromDates and ToDates, ie a return for each period. If you just want one TWRR, simply enter a single pair of FromDate_s/ToDate_s. You can also enter a single date for one of these and multiple dates for the other: for example, you could have a single base FromDate and a number of ToDates to calculate a rolling rate of return to each ToDate from a single FromDate. See the TWRRSwitch for more details. |
Key Points |
| The key part of this function is the values, in CapVals and the dates to which these apply, Dates. |
Mathematical Formula |
| TR = (CapVals(t) -CapVals(t-1) - CapExps(t) + CapRecs(t) + NetIncomes(t)) / (CapVals(t-1) + CapExps(t)) The TWRR for the relevant period defined by the pairs of FromDate_s and ToDate_s is determined by compunding the individual returns. The individual returns are computed over the periods defined by Dates, sincethese corrsepnd to when the values, incomes and expenses are incurred. To conform with current industry standards, Dates should be at monthly intervals (although mathematically they don't have to be). The TWRR can be any time interval defined by FromDate_s and ToDate_s. Capital and Income TWRRS For the Capital TWRR: TR = (CapVals(t) -CapVals(t-1) - CapExps(t) + CapRecs(t)) / (CapVals(t-1) + CapExps(t)) For the Income TWRR: TR = NetIncomes(t) / (CapVals(t-1) + CapExps(t)) For the Capital TWRR (switch option 1), NetIncomes are not used. For the Income TWRR (switch option 2), CapRecs are not used. Timing The above formulae implicitly calculate the return over the period (t-1) to t, in that sense the return is expressed in arrears, either monthly in arrears or whatever the time period of the Dates is. Note that the return is not calculated as an annual return but rather the return over the period. The expenditures and receipts are implicitly assumed to occur at time t, ie the end of the period.
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Examples | |||
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