Geometric mean return
Also called the time-weighted rate of return, a measure of the compound rate of growth of the initial portfolio market value during the evaluation period, assuming that all cash distributions are reinvested in the portfolio. It is computed by taking the geometric average of the portfolio subperiod returns. Also called the time-weighted rate of return or Dietz algorithm.
Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University