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Outperforming the S&P 500
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Outperforming the S&P 500

  #51 (permalink)
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From the notes on IB's report:

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Mike

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  #52 (permalink)
Site Administrator
Manta, Ecuador
 
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ron99 View Post
How does this factor for timing of withdrawals? If you withdraw on the 2nd vs on the 30th, this would affect ROI for the month.

For IB at least, during the reporting period the NAV will be used in combination with net deposit/withdrawal. The % return on capital is based on the starting balance on the first day of the reporting period. From that day forward, IB calculates the NAV +/- the deposit/withdrawal activity.

For the time period report (day by day return) it uses the NAV at the close from the prior day to calculate the return of the current day, also calculated at the close. So for example looking at my report, on January 20th I had a 18.38% return, meaning my account capital grew 18.38% close-to-close from Jan 19 to Jan 20. If I had a withdrawal on that same day, it would not effect the % return, as it is based on NAV.

Someone please feel free to correct me if I am wrong, but this is my understanding. I should probably double check to see if I am right so don't bet your life on it until you've done so for yourself.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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  #53 (permalink)
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ron99 View Post
How does this factor for timing of withdrawals? If you withdraw on the 2nd vs on the 30th, this would affect ROI for the month.

Calculating the NAV on the day PRIOR to the withdrawal is required. If you withdraw on the 2nd, you would calculate a NAV per share as of the 1st, adjust your number shares and then recalculate your NAV per share at month-end. In my example above, if the withdrawal happened on the 2nd, the number of shares would be adjusted downwards to 909,0909. If the account is then at $9,500 at month end, the NAV per share would be 10.45.

I used to calculate my NAV on a daily basis, but that is not really required. You only need a starting NAV, a NAV on the day before withdrawals and then a NAV on your preferred return dates (month-end, quarter-end, or year-end).

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  #54 (permalink)
Site Administrator
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A quick verification:

On 3/17 I withdrew $75,000:

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You can see it didn't effect the calculation for the daily return:

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Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #55 (permalink)
Elite Member
Luxembourg, Luxembourg
 
Futures Experience: Advanced
Platform: TWS
Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
Posts: 491 since May 2012
Thanks: 1,641 given, 1,126 received


Big Mike View Post
For IB at least, during the reporting period the NAV will be used in combination with net deposit/withdrawal. The % return on capital is based on the starting balance on the first day of the reporting period. From that day forward, IB calculates the NAV +/- the deposit/withdrawal activity.

For the time period report (day by day return) it uses the NAV at the close from the prior day to calculate the return of the current day, also calculated at the close. So for example looking at my report, on January 20th I had a 18.38% return, meaning my account capital grew 18.38% close-to-close from Jan 19 to Jan 20. If I had a withdrawal on that same day, it would not effect the % return, as it is based on NAV.

Someone please feel free to correct me if I am wrong, but this is my understanding. I should probably double check to see if I am right so don't bet your life on it until you've done so for yourself.

Mike

Mike, you are correct. The percentage return is calculated by calculating (NAVtoday / NAVyesterday) - 1. If you have a withdrawal on the 20th, then IB would need to adjust the NAVyesterday (19th) for that withdrawal. However, this is only applicable from the 20th onwards and no adjustment is made for the % calculation on the 19th.

IB's method is similar to the method I highlighted earlier. The algebra has just been shuffled around a bit and it is probably easier to calculate this way in Excel. I recall using this approach for my initial performance spreadsheets, but honestly can't remember why I changed. Could just be that it made troubleshooting in Excel easier.

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