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Seasonality features

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Postby Djobydjoba » Wed Sep 25, 2019 4:24 pm

That is a great news! The option will be useful for sure.
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Postby Djobydjoba » Sat Sep 28, 2019 7:23 am

Mark,

1) I have quit a few seasonality graphs that can't be calculated. The graph log says "Unable to solve yield equation", but I don't see any problem with the price data for the specified range. Have you an idea?

An example:
Code: Select all
Graph Calculation Log
Graph Type: Seasonality
Active Sub-Portfolio: EMEA & MENA
Calculating seasonality for investment: # ISE 100
Calculation Years: 5
Ending: 09/27/2019
Periods: 52
Results:
Unable to calculate TWR for investment # ISE 100 for date range 7/16/2016 - 7/22/2016. (Unable to solve yield equation.  # ISE 100: 7/15/2016 - 7/22/2016)


2) I've just realize the Seasonality report is for month period only. Why not adding the quarter and weekly periods, to be consistent with graphs?
I see that with the weekly period there would be a very long Sort menu, with 52 entries, perhaps it is one of the reasons... But quarter period are useful (more than weekly), and it would be nice if it could be added.
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Postby Mark » Sat Sep 28, 2019 7:58 am

Hi Djobydjoba,

1) Can you email me that investment file. It has the extension *.dat. You can find the location of the file by looking at "Investment Properties... / Statistics". I'll try and reproduce the problem here.

2) It seemed 52 columns was a bit much for a report, so we just set it to Monthly. We can consider adding quarterly as an option.
Thanks,
Mark
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Postby Djobydjoba » Sat Sep 28, 2019 8:14 am

Mark,

Here's the .dat file

Mark wrote:We can consider adding quarterly as an option

Would be useful, thanks. Monthly is already too precise for some approaches.
Attachments
ISE 100.zip
(120.52 KiB) Downloaded 237 times
Djobydjoba
 
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Postby Mark » Sat Sep 28, 2019 8:28 am

Hi Djobydjoba,

Thanks for the file. I couldn't reproduce the problem using the same settings shown in your log. There may be some other option affecting this. Are you still able to reproduce this problem with this investment for the same settings (Ending 9/27/19, weekly, 5 years)? If so, can you try this:

1) File / Close Portfolio
2) File / Open Investment(s)... and open just this one investment file
3) See if you can plot seasonality for this investment now. If not, please do a "File / Save Portfolio As..." and then a "File / Backup...". Send me the *.FMB file. This will be a portfolio with just this 1 investment, but it will also include all your settings.
Thanks,
Mark
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Postby Djobydjoba » Sat Sep 28, 2019 8:38 am

I think I have fund the culprit. The option "Annualize yields for terms less than one year" is activated in my FM. If I deactivate the option the seasonality graph data are calculated OK.

Is it a normal behavior?
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Postby Mark » Sat Sep 28, 2019 9:16 am

Hi Djobydjoba,

It is normal for that option to be off. Typically you only annualize when the yield term is longer than 1 year. I see the same problem when turning on that option. What can happen is if you have a large swing in a short time period (1 week), when you annualize that number can be very big, and outside the range searched for in FM's yield calculation algorithm.
Thanks,
Mark
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Postby Djobydjoba » Sat Sep 28, 2019 9:37 am

Mark,

I see the benefit explained in the help for letting this option on:

You may wish to annualize all displayed yields in order to compare relative performance of different time periods.


I don't care about AIMR/GIPS.

Do you think something could be done in order to make compatible this option with the seasonality calculation?

Otherwise nevermind, I will deactivate the annualize option.
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Postby Mark » Sat Sep 28, 2019 9:42 am

Hi Djobydjoba,

I'll take a look at the sample you sent more closely and see what is happening. In general, yields should still calculate even with that option on.
Thanks,
Mark
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Postby Djobydjoba » Sat Sep 28, 2019 9:46 am

Okay, thanks Mark.
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Postby Djobydjoba » Sat Sep 28, 2019 10:11 am

It's seems the issue is only with the week period. So really AFAIC it's not a big deal, because I will mainly use month and quarter periods.
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Postby Djobydjoba » Sat Oct 12, 2019 6:58 am

Hello Mark,

1) I find difficult to understand the average return values in a seasonality graph or reports.

In the help:

The return values used in the calculation are based around 100. For example, a 5% TWR will be represented as 105, where a -5% TWR will be represented as 95.


So for example, when a return value is 17,2, what is the % TWR?

I admit, I'm a noob in mathematics... :oops:

And could you explain what is the usefulness to base around 100 the return values?

2) Bug report: when the option "Seasonality Values are Normalized" is changed (in General Preferences, Other tab), the Apply button in the dialog remains disabled.
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Postby Mark » Sat Oct 12, 2019 10:20 am

Hi Djobydjoba,

1)
So for example, when a return value is 17,2, what is the % TWR?


That quote from the documentation is talking about the return values used in the calculation, which are 100 based, so in that case the TWR of a 17.2 return value in the calculation would be -82.8% (100 - 17.2). The seasonality calculations are done around base 100, so as when not normalizing you don't end up dividing by a negative, or a very small number. When displayed in reports they are level shifted back to base 0, and it is an option in graphs on which base to display.

You could turn on the seasonality logging feature, which will output all the values to a file, so you can see the calculation details.

2) Thanks, we'll get that fixed.
Thanks,
Mark
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Postby Djobydjoba » Sat Oct 12, 2019 10:52 am

Okay, thanks. This question about base 100 because I have very strange results in graphs and I thought I hadn't understand something about it.

I've just found that the strange results are due to the option "Annualize yields for terms less than one year" again. We have spoken about this already. This option, when on, gives very unexpected results (when calculation can be done..) at least for the weekly (but now I will have no confidence with the monthly and the quarterly results neither):


When the option is off:

https://i.postimg.cc/HWP9SPj3/20191012-sam-19h39-01.png

When the option is on:

https://i.postimg.cc/rpJS5fv1/20191012-sam-19h40-01.png


This is not limited to one or two investments. I have these sort of results for many, and often major, indexes. (this example with the Russell 2000 is extreme though).

This seems to me that the seasonality calculation is not appropriate at all when the option is on. So a suggestion would be to not take into account this option for the seasonality calculation, and always calculate seasonality with non annualized yields for terms less than one year, whatever the state of the option.
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Postby Mark » Sun Oct 13, 2019 8:33 am

Hi Djobydjoba,

Yes, that option can cause large differences in yields, especially when the yield term is short, like 1 week. By default that option is off. With the default settings, FM doesn't annualize yields for terms less than 1 year, and it does annualize for terms greater than 1 year.

Forcing that option off for the Seasonality graph may be better. We left it up to the user, by leaving it as an option. We may re-visit this...
Thanks,
Mark
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Mark
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