The statement of assets view is something I regularly turn to and I have configured this so that it features “Performance > TTWROR > Previous Trading Day”. This provides the daily percentage change in price for holdings in individual companies, ITs and ETFs, which is great, though the figures it presents for mutual funds sometimes appear to be incorrect.
I’m guessing this issue potentially stems from the fact that the quoted ‘NAV’ for mutual funds are always at least one day in arrears. For example, its Friday 3rd Oct today, yet the latest pricing I have for one of the funds I own is as @ Wednesday 1st.
Any thoughts or suggestions of how this could be resolved, or a possible work around?
It’s been a while since my original post, and I’ve had more time to think about the issue. From what I can tell, the problem arises because:-
Delayed NAV Publication
While NAV is typically calculated daily, NAV reporting and disclosure rules vary from one jurisdiction to another and in certain localities a fund may be allowed to delay publishing this information.
Sometimes a delay may be unavoidable, perhaps because of operational factors (such as pricing complex or illiquid assets), time zone differences between markets, or settlement timing issues. For example, the Credo Growth Fund only updates its NAV weekly.
Delays in Third-Party Data Feeds
If I get it right, all data sources available to PP derive pricing data from third-party providers, and data feed propagation through these third-party systems can be subject to the delays. This means a latest NAV may be unavailable from a data source, even if a Fund itself published it on time.
For example, the FT gets its data from Refinitiv. If a fund/ETF releases the 31 Oct NAV on 1 Nov (Saturday), Refinitiv might not process it until the next business day, Monday (3 Nov). Until this processing occurs, the latest NAV available from the FT could still relate to Thursday 30 Oct, while another data source (let’s say, Morningstar) may already feature an updated value.
It seems PP currently uses the interval end date to fetch valuation data when calculating TTWROR and IRR, but if no NAV exists on that exact date - as could be the case because of this issue - the system defaults to a zero change, resulting in misleading performance figures such as:-
TTWROR daily change = 0.00 %
IRR for the interval = NaN or 0.00 %
Absolute Performance appears flat
I should add that the issue may well affect all performance figures, although its impact is most noticeable over shorter time frames, such as daily changes.
Given markets continue to be volatile I felt there was a need to bring this ‘anomaly’ to the attention of other users…
Ideally though the issue could be addressed by a modification to PP’s code. That’s to say if no NAV exists for the interval end date the TTWROR and IRR calculations are structured to ‘fallback’ and instead use the last NAV that was successfully obtained (in even if this was a few days old)