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Components

where MVE = the market value of the portfolio at the end of the reporting period, and MVB = the market value of the portfolio at the beginning of the period.

Performance is directly influenced by the reporting period, which is set by default to one year from today. The reporting period determines the value of the portfolio, account, or security at the beginning and end of the period (e.g. MVB and MVE in the performance equations). In the case of the money-weighted rate of return (IRR), it also determines the remaining duration that a cash flow has available to generate a profit or a loss at the end of the reporting period.

Currency exchange rates have a more indirect influence and come into play whenever a transaction involves currency conversion. This includes transfers between different currency cash accounts and transactions such as buys, sells, and dividends in multiple currencies. For example, buying securities that are quoted in USD may require you to convert Euros to USD at a certain exchange rate. Upon selling these securities, you may need to convert the USD back to Euros. Fluctuations in the exchange rate between the time of purchase and the time of sale can result in a profit or a loss, as the value of the USD in terms of Euros may have changed.

-

Historical prices of securities significantly impact the market value and, consequently, the performance of the portfolio, security accounts, individual securities, and trades. It is clear that when a security's price is higher at the end of a trade compared to its price at the beginning, a profitable trade has been made. This price increase results in a capital gain, which directly contributes to the overall performance and value of the portfolio.

+

Historical prices of securities significantly impact the market value and, consequently, the performance of the portfolio, security accounts, individual securities, and trades. It is clear that when a security's price is higher at the end of a trade compared to its price at the beginning, a profitable trade has been made. This price increase results in a capital gain, which directly contributes to the overall performance and value of the portfolio.

Last but not least, performance is directly dependent on the portfolio and transactions. Without any transactions within the reporting period, the basic performance equation simplifies to IRR = TTWROR = (MVE/MVB) - 1. If the MVE is greater than MVB, a profit has been made, resulting in a positive performance. Conversely, if MVE is less than MVB, the portfolio is worth less at the end of the reporting period than at the beginning, leading to a negative performance.

Transactions

Things become more complicated when transactions occur during the reporting period. There are 13 types of transactions, each generating cash flows into and out of the portfolio, account, or security. Figure 2 illustrates all transaction types between the four major components: the portfolio (represented by a dashed blue line), deposit (cash) accounts in both EUR and USD, three securities (two of which are quoted in USD), and collected into two security accounts (orange and blue dashed lines). Security-2 (USD) is present in both accounts.

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Transactions

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