This paper introduces new money-weighted metrics for investment performance analysis, based on arithmetic means of holding period rates weighted by the investment’s market values. This approach generates rates of return which measure a fund’s or portfolio’s performance and a fund...

This paper generalizes Makeham’s formula, allowing for varying interest rates and for a non-flat structure of valuation rates. An average interest rate (AIR) is introduced, as well as an average valuation rate (AVR), both of which exist and are unique for any asset. They can be computed either...