TWR

[mfmelb]

Hi Mark,

I ran a TWR report for a portfolio with 3 subportfolios.
Investments in the 3 sub-portfolios were carried at different times hence say portfolio 1 has investments more than 12 months, portfolio 2 has investments more than 6 months but less than 12 months and portfolio 3 has investments less than 6 months.
The report ran but the results for 1 year (12 months) and 6 months were incorrect for the combine portfolios. I check the log and it had errors indicated at various areas due to negative values. This is not surprising as some of the investments were recent ones hence would probably be the ones giving the errors.
Is there a way of running the report that will give correct values for 6 months and 1 year?

Thanks

Matt

[Mark]

Hi Matt,

How are you determining the reported TWR yields are incorrect? Any reported yield in FM should be correct, or reported as N/A if it can't be calculated for any reason.

For TWR, if a yield object (sub-portfolio, asset, investment type, symbol, etc...) has a negative value at any point during the yield term, the TWR will report N/A unless the yield object is only a single investment. If the item being reported on is a single investment, then the share price can be used to report a TWR.

[mfmelb]

Mark,

Will send you the report so that you can see what I am referring to.

Regards

Matt

[Mark]

Hi Matt,

Just because there are N/A's at the investment level or at a lower sub-portfolio level doesn't mean the higher sub-portfolio needs to be N/A or the same as any lower level sub that reports numbers. Everything is weighted, so even though items were N/A by themselves, they are still included in the overall higher level calculations, and as long as the higher level sub-portfolio stays positive, you can get a TWR reported.