Time-weighted returns Compute the return for two periods dec 31-Jan 5 and jan 5-Jan 31) Return on dec 31-jan 5 ($1377013501350020% Return on jan 5-Jan 31 ($197650187708770053% Time-weighted returns (1+2%)(1+5.3%)-1=741Time-weighted returns • Compute the return for two periods (Dec 31-Jan 5 and Jan 5-Jan 31) • Return on Dec 31-Jan 5: – ($137700-135000)/135000=2.0% • Return on Jan 5-Jan 31 – ($197650-187700)/$187700=5.3% • Time-weighted returns: – (1+2%)(1+5.3%)-1=7.41%