Time-Weighted Portfolio

Compute time-weighted portfolio values from portfolio values and portfolio contributions/withdrawals.

References

• Wikipedia, Time-weighted return
• Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution
• Kenneth B. Gray, Jr. and Robert B. K. Dewar. 1971. Axiomatic Characterization of the Time-Weighted Rate of Return", Management Science, Vol. 18, No. 2, pp. B32-B35