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Benchmark returns (beta, std dev)

Questions on using, creating, or understanding data in Fund Manager reports.

Postby SunilB » Thu May 25, 2023 11:25 am

I am trying to calculate Beta and Std Dev for my portfolios. In Options/Report Preferences/Benchmark, I selected an iShares S&P 500 ETF as the Benchmark Investment (that ETF is in a sub portfolio). I chose 5 years as the Comparison Period.

I created a Custom Report, Subtotaled by Sub Portfolio. I chose several different time periods, including a 5-year period. In Custom Settings, I chose Beta (ending) and Standard deviation of returns (ending).

When I run the report, it shows Beta and Std Dev for all the individual securities, including the ETF, which appears with a Beta of 1 (as I would expect). But for my portfolios, it shows N.A. for those two stats. How can I get Beta and Std Dev for my portfolios, not just the individual holdings?

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Postby Mark » Thu May 25, 2023 11:45 am

Hi Sunil,

When there is an N/A in a report, check the log at:

Help / Logs / Report Calculation...

and should explain why. My guess though is that FM is having trouble interpolating all the necessary pricing data. You can test this by loosening up the interpolation rules under "Options / Yield Interpolation Range..." like this:

OFF: Enforce Maximum Interpolation Range...
ON: Allow Interpolation Prior to Earliest Recorded Data
OFF: Only Report ROI Yields When Item is Owned for Entire Yield Term
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