Year To Date TWR Report & comparison versus S&P 500 Index

[flight]

Hi Mark,

I read the FAQ and some of the board messages, but can you please provide detailed (as detailed as you can get, unfortunately) instructions around:

1) What report to use for YTD TWR performance? For example, the monthly performance TWR report needs a full month and does not do intra-month calculations. I am looking for Year to Date so I know how I compare versus the broad market.

2)How to compare it to the S&P 500 Index? Within this, I have three separate brokerage accounts which I roll-up into my total brokerage, as depicted below:
Master Portfolio
sub portfolio Brokerage Accounts
Brokerage # 1
Brokerage # 2
Brokerage # 3
sub portfolio S&P 500 Index (^GSPC)

3) How can I set the Monthly Performance report to default to TWR instead of ROI?

I am using the Professional Version, so it is not as intuitive as the Advisor Version, which appears to do this for you automatically.

thanks.

[Mark]

Hi flight,

1) You can get YTD TWR in either the "Investment Performance" or "Custom" reports. In each case, set the date range of the report to YTD. In the "Investment Performance" report, see the "Return" column. In a Custom report, use the "Time-weighted return (between)" field. Note, this is TWR, not ROI. For ROI, use the "Portfolio Performance" and "Custom" reports, but in the Custom report, choose the "ROI yield (between)" field.

2) Report at a hierarchy that includes everything you want, so you see both your portfolio, and the index. In your example, this would be the "Brokerage (Ta..." level. In the report settings you can turn on "Hide Totals in Footer", so you don't see a summary of "Brokerage (Ta..." since that combines your index sub-portfolio with your holding sub-portfolio, and you may not care to see the combined value of this.

3) The default performance metric for a new "Monthly Performance" report is ROI. You can however create a report with all the options you want, and then memorize it. Use "Edit / Memorize..." while viewing this report. You assign it a name, and then it will be available to select from the bottom of your main "Reports" menu. It will be recalled with all the same settings as when you memorized it.

[flight]

Thanks Mark,

For questions

1) [a] Just to recap, the "Investment Performance" report is always TWR?

1) [b] For the custom report, is there anyway to space out the headers (see image)?

1) [c] What do the asteriks mean next to my portfolios? extrapolated price?

2) [a] When I record the initial entry for ^GSPC (or any index) does the initial price matter? I booked a purchase of 1 share for $1.

2) [b] Does the index return in FM take into account reinvested dividends? The year to date S&P 500 TWR through 8/26 shows as 8.09%. However, when I did a quick internet search, Bloomberg is showing S&P 500 is +9.65% YTD http://www.bloomberg.com/quote/SPX:IND.

[Mark]

Hi flight,

1a) Correct. See "Help / Help on Report..." from within any report for a detailed description of the report fields.

1b) Yes, you can click/drag the divider between the column headers.

1c) Yes, one of the prices used to calculate the return was interpolated from surrounding recorded closing prices. For more on this, see:

http://www.fundmanagersoftware.com/help ... range.html

2a) Not for an investment level calculation of TWR. It does for ROI, but not TWR. TWR calculates the performance of the object, ignoring when you added/removed money.

2b) The ^GSPC is just the index price, and does not include distribution benefits I believe. There is another quote for S&P 500 Total Return, although I just looked, and wasn't able to find it quoted on either Bloomberg or Yahoo anymore. For some background on this, see:

viewtopic.php?t=240

[flight]

Mark -

In reading some older Board messages, I found a post where you mentioned the S&P 500 Total Return can be used with SPTR:IND. I confirmed this does work (and verified versus Bloomberg/Morningstar), and now I am tracking both Price return and Total return for the S&P 500.

On the question from 1b), I see how to click and drag the column headers, but when I "memorize" the report, the settings do not appear to save. Is that correct?

Separately, can i give the column headers specific names. For example, if I have the date range 1/1/14 to 8/27/14, can I label this as "YTD" somehow.

thanks!

[Mark]

Hi flight,

SPTR:IND seems to work on the "Bloomberg (Historical)" server, but is not available on the current "Bloomberg" server.

Report column widths are memorized globally, not on a per-report basis. Each field is memorized separately, and only one width is remembered, so if you have multiple reports open, using the same field, only one of them will be used to remember the column width. Also, there is an auto-size option at "Options / Report Preferences... / General / Auto-Size Columns When Report Data Changes". You can also use "Window / Auto-Size Columns" to automatically size the columns to the content. From your screen shot it looks like you either have auto-size off, or have another open report setting the column width, instead of from this report.

If you're using the Advisor version you can rename the column labels. See "Options / Report Column Labels...".

[flight]

I only have one report open, and I have the auto change clicked off under Options/Report Preferences.

I then adjust the column width and hit memorize, but I also brings them back.

When I go to window/auto size, it also collapses the columns back to a default width.

Any suggestions? I am using the Professional Version.

[Mark]

If you look under the top level "Window" menu, do you only see a single Report window listed? I'm wondering if you have another report window open, but maybe not in the foreground?

[flight]

I had the Portfolio Editor open, but even when I close, doesn't seem to help.

[Mark]

The Portfolio Editor won't impact your report column widths. Look at the bottom of the "Window" menu. What open windows do you have? You may have multiple windows open, but only viewing one.

[flight]

i think i only have one window open

[Mark]

Yes, you are right, you only have 1 window open. Okay, please either call our office at 480-705-0129 so we can connect in, and take a look at this, or email us a backup of your data. To do this, use "File / Backup..." and email us this *.FMB file as an attachment, so we can test it with your data/settings to see why the columns aren't auto-sizing correctly.

[flight]

Hi Mark,

On the SPTR:IND, I tried to retrieve historical bloomberg prices starting 1/1/09, but the first 8 months of 2009 do not appear. See this graph. You can also see the 5-yr comes up as N/A.

Does this seem correct?

Note, I book an initial entry on 1/1/09 of 1 share for $1

[Mark]

Hi flight,

It looks like they only have pricing for about the last 5 years, so it isn't going back all the way to 1/1/09. If you're only looking at TWR it isn't necessary to record a buy transaction, and if you do want to record a fake buy, it is probably better to do it at the market price than at a price of $1.