TWR calculation

$dpl_n$ – Daily profit and loss on the given day. For more information, see Daily profits and losses .

$mv{b}_n$ – Market value base on the given day. For more information, see Market value (base).

$r_{mvb,n}$ – Daily TWR based on market value.

$r_{eb,n}$ – Daily TWR based on exposure value

$e{b}_n$ – Exposure based on the given day. For more information, see Absolute exposure (base).

$r_{mvb,n}=\frac{dpl_n}{mvb_n}-1$ or $r_{eb,n}=\frac{dpl_n}{eb_n}-1$

$dp{l}_n$ – Daily profit and loss on the given day. For more information, see Daily profits and losses .

$r{p}_n$ – Realized profits on the given day.

$ur{p}_n$ – Unrealized profits on the given day.

$o{p}_n$ – Other profits on the given day (such as dividends, coupons, … ). For more information, see Carried cost - effect of costs and profits on cash positions.

$o{c}_n$ – Other costs on the given day (costs from separate cost transactions). For more information, see Carried cost - effect of costs and profits on cash positions.

$dp{l}_n=r{p}_n+ur{p}_n+o{p}_n+o{c}_n$

Market value (base) is an optional base value that the daily profit and losses are compared against to get the daily return. The market value (base) is the market value in the morning (at the end of the previous day) adjusted by net cashflows during the date.

The adjustment logic can be different depending on the option you chose in Preferences → Administration → Performance calculation (for details, see Preference - Administration). By default, the cashflows affect the market value (base) as follows:

Absolute exposure (base) is an optional base value, that the daily profit and losses are compared against to get the daily return. The absolute exposure (base) is exposure in the morning (at the end of the previous day) adjusted by positive or negative exposure changes during the date.

The adjustment logic can be different depending on the option you chose in Preferences → Administration → Performance calculation (for details, see Preference - Administration). By default, the cashflows affect the absolute exposure (base) as follows:

Absolute exposure (base) is then absolute (i.e. non-negative) exposure (base).

FA treats positions from cash accounts by default differently from others - the cost and profit transactions on cash accounts do not affect the cash positions TWR, but instead, the costs and profits are carried to the portfolio level and affects the TWR on that level. The reason for this is, that e.g. management fees are linked to an account but does not make sense on the account level TWR. It is also possible to remove this logic (controlled under security type Cash) and/or apply it to other security types in Preferences - Securities - Security types.