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.
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.