Calculation failed due to <= 0 value

[BradN]

Hi Mark,

I am getting a calc failure due to a negative value. I cranked up the significant digits to the max to make sure there were not any rounding errors, yet never see any negative values for the date range specified. Any ideas?

Thanks,
Brad

Ehhh... please ignore I was looking for a negative value and not one equal to 0.

[Mark]

Hi Brad,

Where are you seeing this? What are you calculating?

Have you tried plotting the object that is reporting a negative value? You can plot it for the time period in question on a value report, to see when it is going negative.

[BradN]

Hi Mark,

I was wrong looking for a neg value while looking thru the TWR log.

I am reconciling some returns. Sometimes dividends will hit after most of the assets in the account have been transferred out, creating large time weighted returns. I was searching for the cause when I first posted the thread. Don't know what I can do about it, though.

Thanks,

Brad

[BradN]

Mark,

A couple of questions from this TWR log...

Cash Flow Period: 9/24/2011 - 9/30/2011 BMVi: 38.352489 EMVi: 347.602489 Yieldi: 806.34 Yield: 851.79
Annualizing... Calculation Span (years): 0.081967 Adjusted to Term (years): 0.081967 Annualizing Result: 851.79 -> 851.79
Result: Success
Yield Result = 851.79

1) Adjusted to term looks like it is using a 366 day year for 2011
2) Why is the associated report annualizing periods shorter than 1 year if I have that option unchecked?

Thanks,
Brad

[Mark]

Hi Brad,

The description in this log file is confusing. It says "Annualizing...", but that is a misleading term. It is really looking to see if it needs to adjust the yield to another term length. In this case you can see it didn't change it. The yield was calculated for a term of 0.081967 years, and it adjusted it to a term of 0.081967 years (the same), and thus the yield stayed the same "851.79 -> 851.79". You might think of "Annualizing..." as "Checking to see if we need to annualize...". You can turn on the option to annualize for terms less than a year, and then look at the log file, and you will see the difference.

The 1 year period starting on 9/24/11 goes to 9/23/12, which spans Feb 29, 2012. This is where the 366 is coming from.

[BradN]

Thanks for the explanation, Mark.

Geeking out, I linked all the daily returns for that month to see if I could match FM's numbers. If it ever comes up, Interactive Brokers does not use EOD pricing when it transfers out securities. This was the source of the discrepancy in my spreadsheet.

Brad