ESTIMATING RETURNS ON FINANCIAL INSTRUMENTS: TIME VERSUS MONEY‐WEIGHTED RETURNS
探讨在现金流信息不完全时如何估计金融工具收益率，分析货币加权与时间加权两种指标的关系及估计方法，对金融从业者和研究者评估投资绩效有参考价值。
The present paper addresses the problem of estimating returns on financial instruments when there is incomplete information about the instrument's cash flows. Two return metrics are analysed; namely, the money‐weighted return and the time‐weighted return. Returns are usually reported in the financial media on a money‐weighted basis. However, there is increasing evidence that returns measured on a time‐weighted basis are more appropriate for the evaluation of financial performance. The present note outlines the relationship between the two return metrics and examines some estimation procedures which may be used.