Can this skill handle log returns for financial modeling?

Yes, it supports the calculation and conversion of continuously compounded (log) returns, which are essential for time-additive statistical modeling and risk analysis.

What is the difference between TWR and MWR?

Time-Weighted Return (TWR) ignores the impact of cash flows to measure manager skill, while Money-Weighted Return (MWR) accounts for the timing of deposits and withdrawals to reflect the investor's actual experience.

When should I use CAGR instead of simple returns?

Use Compound Annual Growth Rate (CAGR) when you need to describe the smoothed annual growth of an investment over multiple years, as it accounts for the effects of compounding.

Does it calculate the internal rate of return (IRR)?

Yes, the Money-Weighted Return (MWR) functionality provides the internal rate of return for the specific cash flows associated with an investment portfolio.

Financial Return Calculations

Name: Financial Return Calculations
Author: JoelLewis

byJoelLewis

•

Data Science & ML

Computes and analyzes complex investment performance metrics including TWR, MWR, CAGR, and annualized returns.

This skill provides Claude with the mathematical foundation to accurately calculate and interpret various investment return methodologies. It enables sophisticated performance analysis by distinguishing between time-weighted returns for manager evaluation and money-weighted returns for investor experience, while also handling compounding, annualization, and log-return transformations for financial modeling. It is an essential tool for financial analysts and developers building portfolio tracking or investment advisory software.

Key Features

01Calculate Time-Weighted (TWR) and Money-Weighted (MWR/IRR) returns

02Compare arithmetic, geometric, and continuously compounded (log) returns

0318 GitHub stars

04Compute Compound Annual Growth Rate (CAGR) and annualized performance

05Analyze the impact of external cash flows on reported portfolio returns

06Link contiguous sub-period returns into cumulative performance figures

Use Cases

01Evaluating investment manager performance using cash-flow neutral metrics

02Calculating the actual realized growth rate of a portfolio over multiple years

03Explaining discrepancies between personal account returns and benchmark indices

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills return-calculations

For use in Claude.ai and ChatGPT

Download Skill