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Re: Portfolio Yield Error

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Posted by Mark on July 12, 2004 at 09:49:37:

In Reply to: Portfolio Yield Error posted by George on July 11, 2004 at 23:53:49:

: I believe there is an error when calculating the yields that are displayed when displaying a portfolio graph. I'm running the latest version, 6.8. Here is an example of what I'm seeing, not my actual numbers. Say the Portfolio Gain-H graph is used. The beginning date is 3/25/99 and the ending date is 7/9/04. On 3/25/99 the portfolio suffered a $10000 loss. The yield displayed for the entire length of the graph, the "gph" yield is 6.5%. I change the beginning of the graph to 3/24/99 which the portfolio had a big gain of $40000. The "gph" yield is now 5.8%?? No way can the yield be lower when I move back one day that had a large gain. The "gph" yield has to be more than 6.5%, not less.

: I think this error was introduced after version 6.6. I went from 6.6 to 6.8, skipping 6.7. I believe the yield was acting correctly on 6.6. Its like the yield calculations is no longer considering the gain/loss the portfolio receives on the beginning day of the graph.

Hi George,

You're very observant. We did change the way the beginning date worked
for the "gph" yield term. Prior to 6.8 the beginning information was the
close of the prior day. So, if the yield was from 3/25, it would use the
close of 3/24, and include any effects that happened on 3/25 itself. As
of 6.8 we changed it to start with the close of the beginning yield date.
In this example, it would start with the close of 3/25, ignoring any
gains/losseson 3/25 itself.

This was done to be more consistent with the overlay graphs. When your
overlay graph starts on 3/25, that close is the first data point plotted, and
everything is relative to that. You don't see the gain/loss on that 3/25
day itself.

So, for your example, when you've got the start date set at 3/25, you're
not seeing the large $10000 loss on 3/25 in the "gph" yield. When you
move the start date back to 3/24, you're not seeing the large $40000 gain
on 3/24, but you now are seeing the large $10000 loss on 3/25, thus the
yield decreases.

Thanks,
Mark
--
Mark Beiley
Fund Manager, portfolio management software for Windows 95/98/ME/NT/00/XP/2003


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