Standard Deviation

[paulk]

Mark

I am attempting to create a custom report showing the standard deviation of a given portfolio over a time period. I am using the std dev returns (end) field. I keep coming up with N/A for each investment as well as the portfolio as a whole.

Any suggestions?

[Mark]

Hi paulk,

This figure calculates over your specified "comparison period", which you set under "Report Preferences... / Benchmark". The default is 5 years, so if you don't have pricing for 5 years, you'll get an N/A. Make sure you have pricing for the full comparison period by either retrieving more pricing, or shortening the comparison period. Also, the interpolation range settings are used to interpolate a price when you don't have one recorded on the exact date. If your settings are too tight, this may also cause an N/A if a required price cannot be interpolated. For details, please see the online help:

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

[paulk]

Got it.

Thanks Mark.

[paulk]

Looks like the above fixed the std dev for separate investments. For entire portfolios I am still registering n/a. Thoughts?

[Mark]

Hi paulk,

Do all of your investments report a valid number, and not N/A? Check hidden investments as well.

[paulk]

My default cash accounts as well as any cds generate n/a. I assume this is why the portfolio calculates as n/a. How can I go about rectifying that? Is there a workaround by which I can exclude cash investments or something like that?

[Mark]

Hi paulk,

I'm guessing they are N/A because you don't have frequent pricing recorded. A few ideas:

1) Record a price of $1 for every month end in your cash investments, so that a standard deviation can be calculated for them.

2) Verify that all non-cash investments have a valid standard deviation, and then remove the restriction of enforcing a maximum interpolation range period. See "Options / Yield Interpolation Range...". If you un-check the option to "Enforce Maximum Interpolation Range", then it will always interpolate a price. Since you know everything except your cash has sufficient pricing, and cash doesn't change from $1 this is fine, you won't be introducing any errors by interpolating for long time periods.

3) Temporarily drag them into a different sub-portfolio.

[paulk]

I removed the yield interpolation restriction but my cash and cd investments are still showing up as n/a leading to an n/a value for the entire portfilio containing them.

Any further ideas I can try?

[Customer Support]

Due to vacation, technical support will be unavailable until Monday May 16th. We will reply to your post on Monday.

[Customer Support]

Hi paulk,

1) What did you set each of the yield interpolation settings to?

2) You can turn on logging, and this should provide insight into the problem. To turn on logging for this field you have to set a registry value. See the "Advanced" section at the bottom of this page:

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

[paulk]

Enforce max range - unchecked
allow interpol prior to earliest recorded data - unchecked
Only report ROI yields when item is owned for entire yield term - checked
Interpolation type - step

[Mark]

Hi paulk,

If you turn on "Allow Interpolation Prior to Earliest Recorded Data", does that make any difference? Did you try turning on logging? If you'd like me to take a look, please email me one of these investments reporting as N/A, along with the ending date and comparison period (5 years?) that you're using. I will be able to provide more specifics with an example.

[paulk]

Mark

Turning on the "allow interpolation prior to earliest recorded data seems to have worked. Will that effect my other performanace reports adversely?

[Mark]

Hi paulk,

That means your earliest recorded price on those cash/cd investments was less than the comparison period ago. I would suggest recording a price for 5 years ago (or whatever comparison period you're using), and then turn that interpolation option back off. Leaving that option on just allows FM to be more flexible in interpolating a price, but it can also lead to inaccurate results if it interpolates for a long period.