When TWR is appropriate
Use TWR to evaluate an investment strategy or manager without rewarding or penalising the timing and size of investor-directed deposits and withdrawals.
Time-Weighted Return Calculator (TWR/TWRR)
Choose your data
Exact TWR: valuations at cash-flow boundaries
For every event, enter the portfolio value immediately after the contribution or withdrawal. The calculator removes that flow to recover the pre-flow ending value for the subperiod.
Modified Dietz: approximate TWR
Enter each external cash flow separately. Using an end-of-day convention, its weight is calculated automatically as wᵢ = (period days − days elapsed) / period days.
Link known subperiod returns
Enter percentages separated by commas, spaces, or new lines. They are geometrically linked: TWR = [(1 + r₁)(1 + r₂)…(1 + rₙ)] − 1.
Example: 2.1, -0.8, 1.4 means +2.1%, −0.8%, and +1.4%.
Import CSV or TSV
Exact format: date,type,amount,value. Use START and END rows; event types are CONTRIBUTION or WITHDRAWAL. Event values are immediately after the flow.
Results
Cumulative TWR
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Annualized TWR
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Growth of 1
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Calculation period
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Enter valid data and calculate to see a plain-language interpretation.
Annualizing a period shorter than one year is an extrapolation and can make a modest short-term move look extreme.
Text alternative: no calculated growth path yet.
Formula breakdown by period
Subperiod data table
| Period | Dates | Numerator | Denominator | Cash-flow adjustment | Return | Linked factor |
|---|
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Before you calculate
Data you need
Exact TWR needs a starting value, an immediate post-flow valuation at every external cash flow, and a final value. Modified Dietz needs beginning/end values and every dated external flow.
Exact versus approximate
Exact linking splits the history at each flow. Modified Dietz estimates one period by weighting each flow for the time it was available for investment.
Common mistakes
Do not mix pre-flow and post-flow values, combine differently dated flows, enter internal trades as external flows, or compare cumulative returns covering different lengths of time.
Understanding Time-Weighted Return (TWR)
TWRR and TWR both mean time-weighted rate of return. Exact TWR divides performance at every external cash-flow boundary, calculates each subperiod return, and multiplies the growth factors. Modified Dietz is an approximation when boundary valuations are unavailable. Annualized TWR is calculated from the cumulative factor and the actual calendar-day span.
Cumulative TWR = [(1 + r₁) × (1 + r₂) × … × (1 + rₙ)] − 1Annualized TWR = (1 + cumulative TWR)365.2425 / calendar days − 1
Verified worked example
The Load verified sample button loads these exact GBP values. Each event value is recorded immediately after its cash flow.
| Date | Entry | Cash flow | Entered value | Pre-flow ending value | Subperiod return | Factor |
|---|---|---|---|---|---|---|
| 2024-01-01 | Initial valuation | — | £10,000 | — | — | — |
| 2024-04-01 | Contribution | +£2,000 | £12,500 after flow | £10,500 | (10,500 − 10,000) / 10,000 = 5.00% | 1.0500 |
| 2024-09-01 | Withdrawal | −£1,000 | £12,000 after flow | £13,000 | (13,000 − 12,500) / 12,500 = 4.00% | 1.0400 |
| 2024-12-31 | Final valuation | — | £12,600 | £12,600 | (12,600 − 12,000) / 12,000 = 5.00% | 1.0500 |
Linked factors: 1.0500 × 1.0400 × 1.0500 = 1.146600. Cumulative TWR: 14.660%. Over 365 calendar days, annualized TWR: 14.670% using a 365.2425-day year.
TWR compared with other return measures
| Metric | What it measures | Cash-flow timing | Data required | Best use |
|---|---|---|---|---|
| Exact TWR | Investment strategy or manager performance | Neutralised by splitting at each flow | Valuation at every external cash-flow boundary | Comparing managers, funds, or strategies |
| Money-weighted return / IRR | The investor’s personal experience | Directly reflects the size and timing of flows | All dated flows plus ending value | Assessing the return actually experienced by an investor |
| Simple return | Unadjusted change from beginning to end | Usually ignores or crudely subtracts flows | Beginning and ending values | A no-flow period or a quick rough comparison |
| Modified Dietz | An approximate TWR for a period | Each flow is weighted by time invested | Beginning/end values and each dated flow | When exact boundary valuations are unavailable |
Cash-flow and valuation rules
- This calculator’s exact mode uses post-flow values: record the valuation immediately after a transaction. A £2,000 deposit followed by a £12,500 post-flow value implies a £10,500 pre-flow value. A £1,000 withdrawal followed by a £12,000 post-flow value implies a £13,000 pre-flow value.
- Modified Dietz uses end-of-day flows: a flow on day d receives weight
(D − d) / D. A beginning-of-day policy would add one day to the numerator; do not mix conventions. - External flows: deposits, withdrawals, and transfers into or out of the measured portfolio. Enter contributions and withdrawals with the dedicated type control; amounts themselves stay positive.
- Not external flows: dividends and interest retained in the account, management fees charged inside it, taxes paid from it, and internal buys, sells, or transfers between holdings. These belong in the portfolio value and therefore affect the calculated return. If dividends or interest leave the measured portfolio, treat them as withdrawals.
Methodology and editorial review
Editorial owner: Starlight Tools · Last reviewed: 15 July 2026
Calculations use full JavaScript floating-point precision and display percentages to three decimals, factors to six decimals, and money to two decimals. Dates use actual calendar days and a 365.2425-day annualisation basis. Exact mode uses post-flow boundary valuations; Modified Dietz uses an end-of-day cash-flow convention. Results are gross or net of fees according to the values you enter—this calculator does not add or remove fees, taxes, income, or trading costs.
Methodology reference: GIPS Standards Handbook for Firms, including its discussion of true TWR, geometric linking, and daily-weighted external cash flows. A result from this standalone calculator is not by itself GIPS-compliant; compliance depends on the firm, policies, valuations, records, disclosures, and all applicable provisions.
Educational only—not financial advice. Verify material performance figures against source records and your organisation’s documented calculation policy.
Time-weighted return FAQs
What do TWR and TWRR mean?
Both abbreviations mean time-weighted rate of return: performance linked across subperiods after neutralising external cash flows.
How is TWR calculated?
Calculate a return between each cash-flow boundary, convert every return to a growth factor, multiply those factors, then subtract one.
Why are returns multiplied instead of averaged?
Returns compound on the value produced by the previous period. Geometric linking preserves that compounding; an arithmetic average does not.
What is the difference between TWR and IRR or MWR?
TWR aims to evaluate the investment strategy or manager by neutralising investor-controlled cash flows. IRR, a money-weighted return, reflects the investor’s personal experience and the timing and size of their flows.
When is Modified Dietz appropriate?
Use it as an approximate TWR when you know beginning and ending values and every dated external flow but lack a valuation at each flow boundary.
How often do I need portfolio valuations?
For exact linking, you need one at the start, immediately after every external cash flow, and at the end. More frequent periodic valuations may also be required by a reporting policy or standard.
How are deposits and withdrawals treated?
They are removed from performance. Exact mode adjusts each post-flow boundary value; Modified Dietz subtracts flows from the numerator and adds their time-weighted amounts to the denominator.
What is the difference between cumulative and annualized TWR?
Cumulative TWR covers the entered dates. Annualized TWR restates that compounded result as a one-year rate; under one year it is only an extrapolation.
How should fees and dividends be handled?
Retained dividends and interest, and fees paid inside the portfolio, remain in its value. The result is net or gross according to those input values. A distribution leaving the portfolio is an external withdrawal.
Why might my brokerage’s return differ?
The brokerage may use money-weighted return, daily TWR, different flow timing, pricing cut-offs, fee or tax treatment, day counts, rounding, or a different start and end time.