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Criteria

The rate of the return for the overall Fund is money weighted, which includes total income and losses. In comparison with benchmark rates, the rate of return for each asset class is time weighted.

Money-Weighted Return

  • The money-weighted rate of return is calculated by doing a weighted average for the return on investment for each asset based on daily investment balances.
  • The rates of return for the entire Fund and each asset class are all included.
  • Gain or loss is calculated on an accrual basis by deducting all incurred expenses. However, the administrative expenses (internal investment management fees and other indirect costs) is not deducted from the mid-year rate of return.

Money-Weighted Return = (Total Income - Total Expense) / Averaged Investment Balance

Note
  • 1) Total Income: sales profit, gain on valuation (including gain on foreign currency translation), interest income, dividend income, fee income, gain on foreign currency transaction, etc.
  • 2) Total Expense: sales loss, loss on valuation (including loss on foreign currency translation), loss on foreign currency transaction, trading expenses, investment management fee, fee expense and other direct and indirect costs for investing activities
  • 3) Averaged Investment Balance: ∑ daily book values / invested days

Time-Weighted Return

  • The time-weighted rate of return is calculated by doing a geometric mean for the return on investment for each investment period divided based on accrual of new cash flow.
  • In comparison with benchmark rates, the rate of return for each asset class is time weighted.
  • The administrative cost (internal investment management fees and other indirect costs) is not deducted from income or loss.

Time-Weighted Return = [(1+R1)x(1+R2)......(1+Rn)]-1