Fund Performance

Fund Performance

Calculate and present fund-level performance metrics: time-weighted return (TWRR), internal rate of return (IRR), investment multiples (TVPI/DPI/RVPI), and total gross expense ratio (TGER).

Skills Invoked

• fund-return-calculations -- return methodology, NCREIF/PREA standards compliance

Required Inputs

• Fund cash flow history (contributions, distributions, with dates)
• Current fund NAV (as of reporting date)
• Fund expense data (management fees, fund-level expenses)

Optional Inputs

• Property-level valuations for NAV build-up
• Benchmark data (NPI, ODCE) for comparison
• Prior period returns for trend analysis
• Fund terms (vintage year, committed capital, investment period status)

Reads from Manifest

None -- fund-level command that operates on fund-level data.

Writes to Manifest

• Directory: performance/
• Files: fund-returns.xlsx
• Key metrics: twrr_gross, twrr_net, irr_gross, irr_net, tvpi, dpi, rvpi, tger

Workflow

Step 1: Validate Cash Flow Data

Confirm cash flow series is complete: all contributions, distributions, and current NAV with dates. Flag gaps or inconsistencies.

Step 2: Calculate Returns

CRITICAL: ALL return calculations MUST be performed by scripts/fund_returns.py. Do NOT compute TWRR, IRR, or multiples by reasoning through the math.

Invoke fund-return-calculations which calls:

• scripts/fund_returns.py:calculate_twrr() -- time-weighted return (gross and net)
• scripts/fund_returns.py:calculate_irr() -- since-inception IRR (gross and net)
• scripts/fund_returns.py:calculate_multiples() -- TVPI, DPI, RVPI
• scripts/fund_returns.py:calculate_tger() -- total gross expense ratio

Step 3: Benchmark Comparison (if data available)

Compare fund returns to relevant benchmark (NPI for core, ODCE for open-end commingled). Calculate excess return and tracking error.

Step 4: Period Returns

Calculate quarterly and YTD returns in addition to since-inception. TWRR for periodic, IRR for since-inception.

Step 5: Output

Generate fund-returns.xlsx with tabs:

1. Return Summary (TWRR, IRR, multiples -- gross and net)
2. Cash Flow Detail (contributions, distributions, NAV by period)
3. Period Returns (quarterly, annual, since-inception)
4. Benchmark Comparison (if applicable)
5. Expense Analysis (TGER components)

Write to performance directory and update manifest.

QA Checklist

• Cash flow series is complete with no gaps
• TWRR and IRR computed by scripts/fund_returns.py, not LLM reasoning
• Gross and net returns both reported
• TVPI = DPI + RVPI (must tie)
• NAV used for RVPI matches latest valuation
• TGER components itemized
• Benchmark comparison uses appropriate index
• Period returns chain-link to since-inception return

Escalation Notes

• If cash flow data is incomplete, cannot produce reliable returns -- ask user for complete data
• If NAV is stale (>1 quarter old), flag and note the as-of date
• This skill assists with return calculation and preparation. Output does NOT guarantee submission-readiness for NCREIF or other reporting bodies.