TWR return
Shows account return without letting deposits and withdrawals look like profit or loss.
TWR separates trading performance from money moving in or out. If the trader adds another $5,000, the account is larger, but the strategy did not earn that $5,000; TWR removes that mechanical effect.
The metric helps show what happened to the trading strategy or portfolio itself. It is especially useful when the account had deposits, withdrawals, broker credits or transfers between subaccounts.
Positive TWR means the account grew after capital flows were handled; negative TWR means the result was a loss. A common mistake is to compare TWR with dollar profit: it is a percentage return, not a cash amount. After a deep drawdown, percentages can look sharp because the base is low, so monthly returns, VAMI and drawdown give important context.
Example: the account had $10,000, then the owner deposited $5,000, so the balance became $15,000 without trading. Later the account grew to $16,500. Cash is 65% higher than the original $10,000, but TWR shows +10%, because the performance happened only on the $15,000 -> $16,500 move.
How we compute it
The curve is split at deposits, withdrawals, broker credits and transfers on Exante/IBKR investment accounts. For each sub-period we compute growth from start value plus flow to end value, then compound all sub-period growth factors and subtract one.