The time-weighted return is –15.6% and money-weighted return is –19.8%.
To calculate the time-weighted return, first calculate the returns for each period:

Subperiod 1 (Days 1-16)

Subperiod 2 (Days 17-31)

Compounding the returns together to calculate a monthly time weighted rate of return:

= (1 + 0.1398)(1 – 0.2595) – 1 = –0.156 = –15.6%.

To obtain the money weighted-return, we can use our financial calculator. We assume that compounding occurs every one-half month because the cash flow comes exactly in the middle of the month. Using the IRR function on the TI BAII Plus^®:

MV₁ = MV₀(1+R)² + CF₁(1+R)
$19,400,000 = $18,600,000 (1+R)² + $5,000,000 (1+R)
R = –10.43%

Keystrokes on the TI BAII Plus^®:
CF 2^nd CLR WORK
CF(0) 18,600,000 ENTER ↓
CF(1) 5,000,000 ENTER ↓↓
CF(2) -19,400,000 ENTER
IRR CPT = -10.43

To convert this half-month return to a monthly return, we compound it over two periods:

MWR = (1 – 0.1043)² – 1 = –0.1978 = –19.8%.