The interpolation range affects how flexible Fund Manager will be in reporting yields and calculating statistics such as Beta and Correlation. With increased flexibility comes the possibility of reduced accuracy. In order to calculate an investment's yield, Fund Manager requires prices for both the beginning and ending dates of the yield term. Fund Manager will always interpolate an ending price. The interpolation range only affects how Fund Manager will interpolate a price for the beginning date of the yield term.
To adjust the interpolation range settings use Options / Yields / Interpolation Range... from the Graphs window or Options / Yield Interpolation Range... from any other top level window.
Fund Manager will only interpolate a beginning price for a date prior to the earliest recorded data when the check box "Allow Interpolation Prior to Earliest Recorded Data" is selected. For ROI yield calculations this earliest data point is the date of the first transaction. For Time-Weighted Return calculations this earliest data point is the date of the earliest recorded price. When the beginning yield term date is earlier than the investment's earliest recorded data "NA" will be reported for that yield.
The interpolation range can either be set to some number of days, or disabled completely. To not enforce the interpolation range remove the check from the "Enforce Maximum Interpolation Range of x Days" checkbox. In this case Fund Manager will always interpolate a price point (except when the beginning yield term date is prior to the investment's earliest recorded price AND "Allow Interpolation Prior to First Recorded Price" is unchecked). A price will always be interpolated for Cash investment types since the price for cash typically stays fixed at 1.
If the interpolation range is being enforced, Fund Manager will fill in prices between recorded prices for up to this many consecutive days. Fund Manager is looking for the price on the beginning date of the yield term. If a price is recorded for this date, no interpolation is required. If a price is not recorded for this date, a price will only be interpolated for this date if the number of days from the previous price date to the next price date is less than or equal to the interpolation range. The method used to interpolate between price points is either the "Linear" or "Step" methods. In the "Step" method the interpolated price will be the same as the previous recorded price point. In the "Linear" method the interpolated price will be in between the surrounding price point values, proportional to the distance from each surrounding price point. (Example: Given recorded prices of $10 on 1/10/2008 and $11 on 1/20/2008; linear interpolation for 1/13/2008 would give $10.30; step interpolation for 1/13/2008 would give $10)
The units for interpolation range is days and the default value is 2 to cover weekends. Interpolation values from between 0 days and 1 year are accepted. As the interpolation range is increased, the accuracy of the reported yields may suffer, depending upon the dates of your recorded price data points and the date range of the calculated yield.
The price used for the beginning yield term date is actually the closing price of the previous day. This is the starting price on the yield term start date. For example, if you are calculating a 1 year yield ending on 12/31/2008, the beginning yield term date uses the price from the close of 12/31/2007. In this case the yield term is actually from 1/1/2008 through 12/31/2008, inclusive. Gains, or any relevant transactions, that occur on either the starting or ending yield term dates are included in the reported yields. See the following table for examples.
Yield Term Length |
Yield Date Range | Beginning Price From | Ending Price From |
1 year |
1/1/2008 - 12/31/2008 | 12/31/2007 | 12/31/2008 |
6 months |
3/16/2008 - 9/15/2008 | 3/15/2008 | 9/15/2008 |
An example will help clarify the interpolation range: Assume you are requesting a 6 month yield be calculated from 1/5/2008 to 7/4/2008. Fund Manager will always interpolate an ending price for 7/4/2008, based upon the most recent price recorded for 7/4/2008 or earlier. For the opening price of 1/5/2008, Fund Manager will use the closing price of 1/4/2008. Assume that there is no price recorded for 1/4/2008 and that the nearest prices recorded around the this date (1/4/2008) are prices of $10/share for 1/1/2008 and $11/share on 1/8/2008. If the interpolation range is set below 6 (the number of days in between 1/1/2008 and 1/8/2008) Fund Manager will not interpolate a price for any of these intermediate dates (1/2/2008 through 1/7/2008), and will report "NA" for the yield result. However, if the interpolation range is set to 6 or greater Fund Manager will interpolate a price for 1/4/2008, based upon the interpolation method (Linear or Step), and report a yield using this interpolated value for the beginning price. Also, if the interpolation range is not being enforced, Fund Manager will always interpolate a beginning price point to report a yield. If "Allow Interpolation Prior to First Recorded Price" is unchecked and there is no prior price point (the beginning yield term date is before the earliest recorded price for this investment), "NA" will be reported for the yield result, independent of whether the interpolation range is being enforced or not.
Only Report ROI Yields When Item is Owned for Entire Yield Term:
Use this option to prevent ROI yields from reporting when the item is not owned over the full period of the yield term. For example, if a 3 month yield is being calculated for an investment, and that investment was only owned for the last 1 month of the yield term, then N/A will be reported for the 3 month yield. Ownership is determined by having a non-zero share balance at the end of every day in the yield term, except for the ending yield term date. If all shares are sold on the ending date, a yield will still be reported. This option is applied to any ROI yield calculation for investments, asset types, investment goals, sectors, investment types, symbols, or entire sub-portfolios. In the case where a yield is being calculated for an item comprised of multiple investments, shares in at least one investment must be owned for each day in the yield term. This option only affects ROI yield calculations, it does not affect Time-Weighted Returns or any of the statistical calculations. This option is intended to prevent misleading yields when an item is only owned for part of a yield term. Since ROI yields are time and money weighted, periods where you don't own any shares do not affect the ROI yield. The ROI yield is a "rate" at which your money earned over the yield term. If you are calculating a ROI yield and only own shares for a part of the term, the performance during that owned period will determine the reported rate for the whole period. For example, let's say you are calculating a 3 month ROI yield, but you only owned shares for 1 month in that period. If the shares went up by 10% in that 1 month period, the 3 month yield is approximately 30%. The 30% "rate" is the correct rate for 3 months, but since you only owned it for 1 month, you only realized part of that return.