1Settimana·

IZF and TTWROR: Big numbers - good portfolio ?

Getquin has finally added the IZF value, but what exactly does this mean for a depot?


Briefly about myself:

I am a small investor with a savings rate of 500 euros, about 50-50 divided between shares and etfs. I cannot make short-term speculative investments for high returns, my focus is primarily on long-term stability and then, of course, growth. I hold high dividend stocks (more than 5% dividend) as well as typical growth stocks. My annual allowance is exhausted by dividends, which are reinvested in savings plans and premium subscriptions such as Getquin. ^^


The benefit of the IZF value


The pure growth rate indicates the added value in the portfolio, but not whether it has been traded well: this is where the IZF value comes into play.


The IZF (IRR) - internal rate of return indicates the effective annual return on total capital (comparable to an overnight interest rate) and measures how good the real timing and cash flow management were in the year.


In contrast, the TTWROR which measures the time-weighted
investment strategy performance i.e. the (growth) quality of the security selection.


Are high IZF and TTWROR values good?

On their own - yes.


A direct comparison of these two values would be better.


General statements:


  • TTWROR > IZF

Security selection is/was good, but contributions came late or in uneven buying phases. Less capital benefited from early growth. Stocks performed strongly, but capital came in too lateto capture the full performance.


  • TTWROR < IZF

Early (cheap) investment, but only moderate growth.


In the overall view of the portfolio, the IZF value is annualized, i.e. averaged over the investment year. The TTWROR, on the other hand, is NOT; it refers to all investment years.


Investment efficiency


If you want to know the actual efficiency level of your investments (overall view), you need to average the TTWROR value, i.e. divide it by the number of years invested.


OR:

The IZF/TTWROR values per calendar year are consistent. The figures can be used directly.


Methods of measurement.



A) Efficiency ratio

A particularly intuitive metric is easy to determine:


Efficiency = (IZF/TTWROR)*100


Example from my portfolio in calendar year 2025


Effizienz=(14,3/11,5)×100

  • IZF = 14.3% p.a.
  • TTWROR = 11.5 % p. a.
  • → Efficiency = 122.87 % (22,87%)


General interpretation:

  • ≈ 100 %: Capital utilization optimal (no timing effect)
  • < 100 %: Capital arrived too late (TTWROR > IZF)
  • > 100 %: Very good timing (IZF > TTWROR)


Statement: Timing of capital flows. With the value 22,87% I have achieved a higher return than my pure market performance of 11.5% TTWROR.


Method 2


B) The delta chart.


Here an approximation between IZF and TTWROR is created.


The DELTA shows how strongly the money-weighted yield (IZF) from the time-weighted performance (TTWROR) and how optimally you are working.


Information content: indicates the "timing added value" or "cash flow spread", i.e. the additional return on specific capital investments (deposits at lows, reallocations e.g. loss-making sales to high-yielding shares, profit-taking)


Formula:

DELTA = IZF-TTWROR


Concrete example:


IZF: 14.3 % p. a.

TTWROR :11.5 % p. a. (averaged)


In my case: IZF - TTWROR = 2.63 %


General conclusion:


  • < -1 %

Capital came too late → Potential wasted,

Optimizable


  • 0-1%

Stable actions, but hardly any changes

>Optimizable


  • 1-2 %

Neutral to good timing

Very solid


  • 2-3%

Above average timing

Strong, but rarely durable


>3%

Extremely good, usually associated with high volatility

Mostly through trading or short-active actions


SUPPLEMENT:


If IZF and TTWROR go into the hundreds (as over 100%) - then you guys are the hottest ^^ - but the rating of efficiency and DELTA does not change in mathematical logic.


Efficiency logic (Assumption 100% is existing market performance)


  • TOP: everything above 100%, excellent market timing
  • Neutral; anything approaching 100%,
  • Meh: logical, less than 100% means bad timing without influence on your portfolio performance (for the moment)


Note Bad timing here does not mean that the investment is bad, but only that the purchase takes longer to go above 100%.


Delta logic (timing difference)

Reminder: The VALUE from IZF-TTWROR is the timing "return", i.e. the value that shows you whether your time-weighted purchase had an impact on the growth of the specific share.


Here too


  • Over 100% - extremely strong
  • Close to 100% - no timing effect, purely market-driven
  • Below 100% : logically how much loss of return the purchase has cost you (e.g. buying at ATH, chasing a daily trend)



Cautionetfs and very short-term trades dilute the valuation, IZF and TTWROR both calculations are averaged over 1 year.


Anyone who has made 500% return with one trading activity has beaten the market 5 times etc.

It would be mathematically logical to use leverage factors for values above 100%.

95
31 Commenti

immagine del profilo
1Settimana
Top, thank you. Very well explained!

I wonder what concrete influence the knowledge about IZF and TTWRR can have on my future strategy. 🤔
5
immagine del profilo
@Epi Let's assume that the efficiency value or delta value is next to the share. You could draw a direct conclusion from this as to whether an investment is (still) worthwhile at a given time. For example, I have Petroleo shares that currently have negative annual growth (aka loss to buy in), but tend to have a good total return due to stable dividend payments and, very importantly, no withholding taxes. The specific buying behavior is evaluated, not the internal company value or the future development of a share.
2
immagine del profilo
@Epi At least if the IZF/TTWROR ratio is not right, you know that the strategy did not fit in the past.

A savings plan for 8 years on one world is definitely not a good approach according to the ratios mentioned above :)
2
immagine del profilo
1Settimana
@Qheherain Okay, and would I then know whether to buy or sell the Petroleo shares?
2
immagine del profilo
1Settimana
@Alpalaka Hmm, that means that depending on the return path of the last few years, I know in retrospect whether my strategy was optimal or not. And how do I deduce what the return path will look like in the coming years in order to adjust my investments optimally?
2
immagine del profilo
@Epi Well. To cut a long story short: IZF/TTWROR is the little man's cock comparison.

The ratio shows me my past performance. Great!
But isn't it said in the stock market environment that you shouldn't look in the rear-view mirror?
2
immagine del profilo
@Epi If you are referring to short-term actions in the sense of trading - then no. It can only calculate retroactively or currently. BUT: you could build a tool that shows the potential optimization for a subsequent purchase at a more favorable time. a rebalancing logic is created. If the TTWROR is high, but the timing difference is negative, then it may not be worth buying more. This would actually be an active display - if you potentially want to buy more. It could be that buying too many cheap shares below the previous buy in does not improve the overall value. I am assuming the goal of a medium-term (at least 1 year) or long-term holding of a share.
2
immagine del profilo
1Settimana
@Qheherain But the assumption with such retrospective rebalancings is that the return path remains constant, right?
1
immagine del profilo
1Settimana
@Alpalaka Cock comparison of the little man? Have a look...

Shit! My depots are either elephant trunks or mosquito bites.

I'm out of here! 👋
5
immagine del profilo
1Settimana
Your example figures are cute, by the way. My deltas in the various strategy portfolios fluctuate between -100 and +220.
What does that tell us? 🤷
2
immagine del profilo
@Epi. Through multiple leverage, trading etc. Gigantic excess return, but not systemically averaged, based on an annual valuation. More than 100% is mathematically impossible :-) .
immagine del profilo
1Settimana
@Qheherain How is that not possible?
In my trading portfolio, for example, it says: IZF+191%, TTWRR 71%. In my gold portfolio it's (almost) the other way around. 🤷
immagine del profilo
@Epi: it is already possible with >100%, but you would use factoring or multifactor value here. Your timing is "excellent". Efficiency at 269%, timing at 120%. My examples refer to average actions in my asset class.
1
immagine del profilo
1Settimana
@Qheherain Well, the average investor has the market return with the path of the ACWI. So he is a very bad timer. 😅

When referring to the average investor, shouldn't the key figures of the portfolio be set against those of an ACWI? Then you would at least know whether you were better or worse than the market. 🤷
immagine del profilo
1Settimana
@Epi Are these perhaps your values for the entire investment period? The example explicitly states the values for 2025. You can select each year separately.
immagine del profilo
1Settimana
@mattstorm No, these are already the values for 2025, I just checked again.
2
immagine del profilo
1Settimana
Great contribution! Suggest it for the 'Best of' category - @Kundenservice
1
immagine del profilo
@wervol That's very nice - thank you !
1
immagine del profilo
I find the explanations super well explained for a non-mathematician like me. Many thanks for that.👍
I have now calculated both key figures. My efficiency is 140.18% and my delta is 43 for 2025.
If I've understood your explanations correctly, that means I'm just a cool guy, right?
Good that it's now mathematically proven.
It's just stupid that I'd have to be 60 years old to prove it.😉😂 I'll show this to my wife and son tonight as proof. It's incomprehensible that they sometimes doubt it. 😂😎

All joking aside, thank you again for your targeted contribution with added value.
1
immagine del profilo
@Multibagger We already knew that you have an excellent investment strategy - but now it's even more proven. ^^
1
immagine del profilo
Thanks for doing this! :)
immagine del profilo
Am at 13.27 what do I take from this = thought I was very good at it but apparently capital came in too late? Currently have an average return of 20% per year does that mean I could have gotten way more out of it?
immagine del profilo
@TheRealDarthVader That is correct. Your actions were approx. 6.7% below the potential market value. I cannot and must not make a concrete assessment here. You also have to look at what exactly was done. For example, I reallocated this year in Q3 with losses on the assumption that other shares would perform better from Q4 onwards. 2025 is not over either. ^^
1
immagine del profilo
@Qheherain All right, thanks for the info🫡
immagine del profilo
Without having to do a lot of math:

It is always better if the IZF value is higher (or at least equal) than the TTWROR.

The TTWROR does not reflect how well you have invested, only how much the portfolio has increased.

Example of two investors as beginners in 2025
Both with

100,000€ deposit
TTWROR 25%

A)
Deposit value: 100,000
Equity capital: 60,000
TTWROR: 25%
IZF: 66.67%
Efficiency: 266.7%
Timing (delta): 41.67


B)
Deposit value: 100,000
Equity: 80,000
TTWROR: 25%
IZF: 25%
Efficiency: 100%
Timing (delta): 0%
immagine del profilo
Thanks!
My efficiency ratio is 583%, seems a little too good? IZF (IRR): 47.2% and TTWROR: 8.09%
immagine del profilo
@SerSeek Well, yes. It could be and seems to be realistic. The efficiency ratio resembles specific moments to a year, for example if a big placement was made at march/april 2025 at a very low point and jumps to a very high point this year. Your timing was 4.6x better than the market - looks like your placement was at a very good (low) point but with 90% invest. (this year). Excellent !
1
I think that measuring the pure timing "effectiveness" that you can achieve... Only say if you are a good trader (and can be used let say to do an evaluation of the operating skills of a private banker). But it might not be the best metric, if you are investing for the long term... Personally I'd look more on the IZF, the volatility, a comparison with a portfolio reference (or an index) and also i d compute the performance considering also the cash accounts... After all also the cash is part of your values and keeping it as cash often translates in a missed opportunity. That said using this evaluation metrics I have a twror of 40% and a IZF of a 20% so based on your well expained way to evaluate I did a mess losing many opportunities.
Nonetheless if I compare my euro portfolio with the s&p index in dollars, I did better both in term of volatility and return (said that my objective is to achieve a good return non higher than the market with less drawdown risks).
immagine del profilo
I don't quite understand the TTWROR in my portfolio. It is -24.26% and the IZF is 9.24%.
Can that be right?

Perhaps someone can explain this to me.
immagine del profilo
So if I have been 2,75 years investing, and my IZF is 38,27%, that data is anualized. Then my TTWROR is 126,42%, wich needs to be divided by 2,75 years which is 45,97% anualized.

So I'd be comparing 45,97% TTWROR with 38,27% IZF and that would mean that eventhough my return is high, my timing was not the best?
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