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Portfolio123 » List all forums » Forum: Errors » Thread: Wrong S&P return calculation? |
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Total posts in this thread: 10 |
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cc93839
Member
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How does P123 calculate the return of the benchmarks? Accoring to Yahoo Finance S&P500 return was -6.12% in January (http://finance.yahoo.com/q/hp?s=%5EGSPC&a=00&b=3&c=1950&d=01&e=12&f=2008&g=m) When exporting monthly performance from P123, S&P500 shows a return of -4.90% for January. Quite a big difference. |
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probtrader
Advanced Member ITALY Joined: Oct 11, 2004 Posts: 109 Status: Offline |
I run a backtest for one of my screens using SP500 as the benchmark. From 12/31/2007 to 1/28/2008 the SP500 return indicated by the P123 report is -7.79%. Yahoo values are 12/31/2007 1468.36 1/28/2008 1353.96 Exactly -7.79% |
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cc93839
Member
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I'm exporting the stats on a Sim with End Date 01/31/08 I'm referring to the data when using the Performance Stats > Download Monthly Returns excel. The last line of the Excel shows the S&P at -4.9004182%. Would appreciate it if someone from P123 would shed some light on this. |
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dwpeters
Advanced Member
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Hi, When referring to a sim with an issue, it's always helpful to include a link to that sim. I took a look in one of my sims run through yesterday, downloaded the monthly returns from the Performance - Stats tab and get this for Jan: Period Start Date Model S&P 500 Excess Return 1/2/2008 -0.061744515 -0.035752777 -2.5991738 when running thru 1/31 as you did I get: 1/2/2008 -0.06380424 -0.049004182 -1.4800057 So running thru Jan 31 I get the same results as you: -4.9%, running through the entire month I get -3.575%. So for some reason running thru Jan 31 doesn't seem to include the last day of the month ... and in any case neither value appears to be correct. Don |
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cc93839
Member
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I'm using a Private Sim unfortunately, but anybody's SIMS through January should show the same return for the S&P500 benchmark. Running it with an end date of 02/01/2008 (includes Jan 31st), shows S&P500 return as -3.575%. |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Cassiar, The reason for including the link to the Sim in your post is so the P123 staff can check the specific Sim in question. Since the Sim is private, other members will not be able to see it. Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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marco
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It seems that the monthly perf stats are calculating from first day of the months. I should use the end month values. Yahoo's -6.12% uses 12/31/2007 1,468.36 1/31/2008 1,378.55 The monthly stats -3.57% use 1/2/2008 1,447.16 2/1/2008 1,395.42 We'll look into correcting them. Thanks ---------------------------------------- Portfolio123 Staff |
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victorass
Advanced Member
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How are the monthly portfolio trading returns (that we can export to Excel via CSV) calculated? E.g. for the January portfolio return percentage, is (market value at the close of Jan 31 2008) divided by (market value at the close of Dec 31 2007) used? Thanks. |
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grokkalot
Advanced Member
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I know someone who claimed that Yahoo's prices for stock indices are bugged in the sense of not being adjusted for dividends even though the individual stocks are. Not sure about the current status of that issue. |
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victorass
Advanced Member
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Shouldn't be too complex to fix  (I hope)Thanks in advance. |
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