翻訳と辞書 Words near each other ・ Time-to-digital converter ・ Time-tracking software ・ Time-trade-off ・ Time-triggered architecture ・ Time-Triggered Protocol ・ Time-use research ・ Time-use survey ・ Time-utility function ・ Time-variant system ・ Time-varied gain ・ Time-varying covariate ・ Time-varying mesh ・ Time-Varying Microscale ・ Time-varying network ・ Time-weighted average price ・ Time-weighted return ・ Time/memory/data tradeoff attack ・ Time2shine ・ Time3 ・ Timea ・ Timea Bacsinszky ・ Timea Majorova ・ Timea Nagy (activist) ・ Timea Sara ・ Timeattack ・ Timeball ・ Timeblazers ・ Timebomb (1991 film) ・ Timebomb (album) ・ Timebomb (Beck song) Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Time-weighted return ： ウィキペディア英語版 Time-weighted return The time-weighted return (or true time-weighted rate of return (TWROR)) is a measure of the historical performance of an investment portfolio which compensates for external flows. (External flows are net movements of value which result from transfers of cash, securities or other instruments, into or out of the portfolio, with no simultaneous equal and opposite movement of value in the opposite direction, as in the case of a purchase or sale, and which are not income from the investments in the portfolio, such as interest, coupons or dividends.) To compensate for external flows, the overall time interval under analysis is divided into contiguous sub-periods at each point in time within the overall time period whenever there is an external flow. In general, these sub-periods will be of unequal lengths. The returns over the sub-periods between external flows are linked geometrically (compounded) together, i.e. by multiplying together the growth factors in all the sub-periods. (The growth factor in each sub-period is equal to 1 plus the return over the sub-period.) Investment managers are judged on investment activity which is under their control. If they have no control over the timing of flows, then compensating for the timing of flows using the true time-weighted return method is a superior measure of the performance of the investment manager. == Formulae == Suppose that the portfolio is valued immediately after each external flow. The value of the portfolio at the end of each sub-period is adjusted for the external flow which takes place immediately before. External flows into the portfolio are considered positive and flows out of the portfolio are negative. :$1+r=\; \backslash frac\backslash times\backslash frac\backslash times\backslash frac\backslash times\; \backslash cdots\; \backslash times\backslash frac\}\; -C\_\}\backslash times\backslash frac\backslash times\backslash frac\backslash times...\backslash times\backslash frac\; +C\_\}\backslash times\backslash frac\; +C\_\}$ where: :$r$ is the "true time-weighted return" of the portfolio, :$M\_0$ is the initial portfolio value, :$M\_t$ is the portfolio value at the end of sub-period $t$, immediately before external flow $C\_t$, :$M\_n$ is the final portfolio value, :$C\_t$ is the net external flow into the portfolio which occurs at the beginning of sub-period $$, and :$n$ is the number of sub-periods. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Time-weighted return」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.