IF OBJECT_ID('tempdb..#trn') IS NOT NULL
DROP TABLE #trn

IF OBJECT_ID('tempdb..#mv') IS NOT NULL
DROP TABLE #mv

SELECT PTR_sequence as trno, PTR_CLIENTACCOUNTNUMBER as accountno, PTR_DATE as date_trn, 
CASE PTR_TAC 
WHEN 'BUY' THEN 0
ELSE PTR_LOCALAMT
END as amt_trn
INTO #trn
FROM MPR_Portfolio_Transactions

SELECT PVL_CLIENTACCOUNTNUMBER as accountno, PVL_DATE as date_mv, PVL_Value as amt_mv
INTO #mv
FROM MPR_Portfolio_Valuations

;with mycte(accountno,dt,cf,mv) as (
SELECT accountno
,date_mv
,amt_mv
,'True'
FROM #mv
UNION ALL
SELECT accountno
,date_trn
,amt_trn
,NULL
FROM #trn
) 
SELECT d.accountno
,d.date_start
,d.date_end
,wct.GTWRR(t1.cf,t1.dt,t1.mv,2) as TWRR_Month
,wct.GTWRR(t2.cf,t2.dt,t2.mv,2) as TWRR_Cum
INTO YourTableName
FROM (
SELECT m1.accountno as accountno
,m1.date_mv as date_start
,MIN(m2.date_mv) as date_end
FROM #mv m1
JOIN #mv m2
ON m1.accountno = m2.accountno
AND m2.date_mv > m1.date_mv
GROUP BY m1.date_mv
,m1.accountno
) d
JOIN mycte t1
ON t1.accountno = d.accountno
AND t1.dt between d.date_start and d.date_end
JOIN mycte t2
ON t2.accountno = d.accountno AND
t2.dt between '2011-12-31' and d.date_end
GROUP BY d.accountno, d.date_start, d.date_end