Calculation methods for time-weighted performance
We consider the case of one period in a time-weighted calculation:
Period from t1 to t2 with mean movement of amount E2 on day t2. The return R between t1 and t2is to be calculated.
We consider the case of one period in a time-weighted calculation:
Period from t1 to t2 with mean movement of amount E2 on day t2. The return R between t1 and t2is to be calculated.