Brinvex Investment Performance Analyzer

The Brinvex Investment Performance Analyzer (technically named brinvex-investperf) is a compact Java library designed for calculating and analyzing financial investment performance, guided by the principles of the Global Investment Performance Standards (GIPS) to ensure accuracy and consistency.

The following examples demonstrate how easily and fluently one can use the tool to calculate and analyze financial investment performance. With minimal setup, you can define key parameters such as asset values and cash flows, and quickly get back a detailed performance report, including TWR, MWR any many more.

List<PerfAnalysis> perfAnalyses = PerformanceAnalyzer.INSTANCE.analyzePerformance(PerfAnalysisRequest.builder()
    .resultStartDateIncl(parse("2023-01-01"))
    .resultEndDateIncl(parse("2023-03-31"))
    .assetValues(List.of(
            new DateAmount("2022-12-31", "100000"),
            new DateAmount("2023-01-31", "98000"),
            new DateAmount("2023-02-28", "117000"),
            new DateAmount("2023-03-31", "120000")
    ))
    .flows(List.of(
            new DateAmount("2023-01-20", "2000"),
            new DateAmount("2023-02-15", "1000"),
            new DateAmount("2023-02-07", "-1500")
    ))
    .flowTiming(BEGINNING_OF_DAY)
    .twrCalculatorType(LinkedModifiedDietzTwrCalculator.class)
    .mwrCalculatorType(ModifiedDietzMwrCalculator.class)
    .resultFrequency(MONTH)
    .resultRatesInPercent(true)
    .resultScale(2)
    .calculateMwr(true)
    .calculatePeriodMwr(true)
    .calculateTrailingAvgProfit1Y(true)
    .calculateTrailingAvgFlow1Y(true)
    .build());

	2023-01	2023-02	2023-03
Period Start Value	100000	98000	117000
Period End Value	98000	117000	120000
Period Flow	2000	-500	0
Period TWR	-3.97%	20.04%	2.56%
Cumulative TWR	-3.97%	15.27%	18.23%
Annualized TWR	-3.97%	15.27%	18.23%
Period MWR	-3.97%	20.04%	2.56%
Cumulative MWR	-3.97%	15.34%	18.28%
Annualized MWR	-3.97%	15.34%	18.28%
Total Contribution	102000	101500	101500
Period Profit	-4000	19500	3000
Total Profit	-4000	15500	18500
Trailing Avg Profit 1Y	-4000.00	7750.00	6166.67
Trailing Avg Flow 1Y	2000.00	750.00	500.00

True Time-Weighted Rate of Return Calculator

True Time-Weighted Return (TWR) is often the preferred method for evaluating portfolio performance as it eliminates the impact of cash flows. This metric focuses solely on the portfolio's ability to generate returns, making it ideal for performance comparison across different funds or investment strategies.

TwrCalculator twrCalculator = PerformanceCalculator.trueTwrCalculator();
BigDecimal twrReturn = twrCalculator.calculateReturn(PerfCalcRequest.builder()
        .startDateIncl(parse("2020-06-01"))
        .endDateIncl(parse("2020-06-30"))
        .startAssetValueExcl(new BigDecimal("100000"))
        .endAssetValueIncl(new BigDecimal("135000"))
        .flows(List.of(
                new DateAmount("2020-06-06", "-2000"),
                new DateAmount("2020-06-11", "20000")))
        .assetValues(List.of(
                new DateAmount("2020-06-05", "101000"),
                new DateAmount("2020-06-10", "132000")))
        .flowTiming(BEGINNING_OF_DAY)
        .annualization(DO_NOT_ANNUALIZE)
        .resultInPercent(true)
        .resultScale(4)
        .build());
assertEquals("19.6053", twrReturn.toPlainString());

Time-Weighted Rate of Return - Distorting effects of contributions

See the demo spreadsheet: Demo_TWR_Distorting_effects_of_contributions.xlsx

Modified Dietz Money-Weighted Rate of Return Calculator

Modified Dietz is a simplified version of the Money-Weighted Return (MWR) calculation. It adjusts for the timing and size of cash flows to provide a performance measure that accounts for external influences like deposits and withdrawals. It is one of the methodologies of calculating returns recommended by the Investment Performance Council (IPC) as part of their Global Investment Performance Standards (GIPS).

ModifiedDietzMwrCalculator mwrCalculator = PerformanceCalculator.modifiedDietzMwrCalculator();                                                      
BigDecimal mwrReturn = mwrCalculator.calculateReturn(PerfCalcRequest.builder()              
        .startDateIncl(parse("2020-06-01"))                                                 
        .endDateIncl(parse("2020-06-30"))                                                   
        .startAssetValueExcl(new BigDecimal("100000"))                                      
        .endAssetValueIncl(new BigDecimal("135000"))                                        
        .flows(List.of(                                                                     
                new DateAmount("2020-06-06", "-2000"),                                      
                new DateAmount("2020-06-11", "20000")))                                     
        .flowTiming(BEGINNING_OF_DAY)                                                       
        .annualization(DO_NOT_ANNUALIZE)                                                    
        .resultInPercent(true)                                                              
        .resultScale(4)                                                                     
        .build());                                                                          
assertEquals("15.2239", mwrReturn.toPlainString());                                         

If you're considering adding support for the XIRR MWR calculation method, check out this library https://github.com/RayDeCampo/java-xirr.
I used XIRR previously, but with a focus on computational efficiency, I switched to the Modified Dietz method in 2024, as it is significantly more efficient and meets our needs well. Notably, both XIRR and Modified Dietz methods are endorsed by the GIPS.

Linked Modified Dietz Time-Weighted Rate of Return Calculator

The Linked Modified Dietz Time-Weighted Rate of Return calculation method allows you to approximate the time-weighted rate of return, even when portfolio valuations at cash flow dates are unavailable.

LinkedModifiedDietzTwrCalculator linkedTwrCalculator = PerformanceCalculator.linkedModifiedDietzTwrCalculator();
BigDecimal twrReturn = linkedTwrCalculator.calculateReturn(PerfCalcRequest.builder()
        .startDateIncl(parse("2021-01-01"))
        .endDateIncl(parse("2021-03-31"))
        .startAssetValueExcl(new BigDecimal("10000"))
        .endAssetValueIncl(new BigDecimal("10200"))
        .flows(List.of(
                new DateAmount("2021-02-15", "100")))
        .assetValues(List.of(
                new DateAmount("2021-01-31", "10100"),
                new DateAmount("2021-02-28", "10201")
        ))
        .flowTiming(BEGINNING_OF_DAY)
        .resultScale(10)
        .annualization(DO_NOT_ANNUALIZE)
        .build());
assertEquals("0.0100004877", twrReturn.toPlainString());

Resources for learning more about Investment Performance Calculation

https://canadianportfoliomanagerblog.com/calculating-your-modified-dietz-rate-of-return
https://www.interactivebrokers.com/images/common/Statements/MWR-TWR_white_paper.pdf
https://en.wikipedia.org/wiki/Modified_Dietz_method
https://en.wikipedia.org/wiki/Time-weighted_return
https://www.gipsstandards.org

Maven and JPMS Setup

<properties>
     <brinvex-investperf.version>1.0.7</brinvex-investperf.version>
</properties>

<repository>
    <id>github-pubrepo-brinvex</id>
    <name>Github Public Repository - Brinvex</name>
    <url>https://github.com/brinvex/brinvex-pubrepo/raw/main/</url>
    <snapshots>
        <enabled>false</enabled>
    </snapshots>
</repository>

<dependency>
    <groupId>com.brinvex</groupId>
    <artifactId>brinvex-investperf</artifactId>
    <version>${brinvex-investperf.version}</version>
</dependency>

The library supports JPMS and exports the module named com.brinvex.investperf.

Requirements

• Java 23 or above

License

• The Brinvex Investment Performance Analyzer is released under version 2.0 of the Apache License.