How would you calculate the following time weighted return over the period 2000-2010?
2003-2008 are periods with a value of zero. Therefore no return can be calculated.
2000: +10% HPR (Holding period return)
2001: +10% HPR
2002: +10% HPR (12/31: position closed)
2003: no position
2004: no position
2005: no position
2006 no position
2007: no position
2008: no position
2009: +10% HPR (01/01: position opened)
2010: +10% HPR
IRR calculation is straightforward an easily adjusts for periods without investment.
| date | cash flow |
|---|---|
| 2000-01-01 | -100 |
| 2002-12-31 | 133 |
| 2009-01-01 | -100 |
| 2010-12-31 | 121 |
| IRR | 10% |
is 1.10^5 the time weighted return? Is the annualized time weighted return \sqrt[5]1.10^5 or \sqrt[10]1.10^5?