Performance calculation

Arnaud13 октября 25 г. | Опубликовано в Общая

Could you please provide the detailed calculation of the 10-year annualized return of IE00BCRY6003, which is shown as 8.14% per year? Thank you.

Also, I’ve noticed a difference between the drawdown of an asset and the drawdown of the same asset when it’s placed in a portfolio at 100%. Is there a specific reason for that? Thank you.

5 комментариев

3 ответа

Сортировать по

Dmitry Shevchenko15 октября 25 г.

Hey, the 10Y annualized return is calculated based on the adjusted closing prices (including all distributions and adjusted for splits) over the past 10 years using the standard CAGR formula: the final value divided by the initial value, raised to the power of one-tenth for annualization.

As for the difference in drawdown, in most cases, it should be identical but if the portfolio’s reporting currency differs from the asset’s native currency, the asset prices are converted using the latest exchange rate before running calculations. This conversion can alter the drawdown figures when compared to the standalone asset view.

Let me know if you have any further questions.

Arnaud15 октября 25 г.

Thank you Dmitry. I would like some clarification regarding the calculation of the 10-year profitability of this asset, SDHG.L. Indeed, the price was 62 on 20/10/2013 and is 67.14 today. The reported return is 8.14%. Thank you.

Dmitry Shevchenko

-5 мес.

When calculating the total return, you also need to include all distributions paid by the ETF over the period, in addition to the change in price. This ETF has paid out over £55 in dividends during the past 10 years. So when you add those to the latest closing price, the total return is roughly double the initial value, resulting in the reported ~8.14% annualized

Arnaud15 октября 25 г.

Thank you very much for your answers. Sorry to insist, but I can’t seem to reproduce the 8.14% figure mathematically. Are the dividends added to the latest price — that is, to 67.14? Also, on a different note, the equivalent accumulating ETF (IE00BZ17CN18) shows a lower return — quite curious, isn’t it?

Dmitry Shevchenko

-5 мес.

No worries, I can provide the exact calculations a bit later (need to get to raw data for that). Feel free to share your calculations in meantime, though.

Regarding the other ETF, it doesn't have enough historical data to calculate 10Y return yet, and besides that it's traded in USD, while the first one is in GBP. So I would not expect the same performance due to currency difference, either way.

Arnaud16 октября 25 г.

Thank you for your answers. Regarding the difference in drawdown, I suspected it was due to the currencies. As for my calculation, here are the details: Initial price: 62 Last price: 67.14 Total dividends paid: 55.47 (67.14 + 55.47) / 62 = 1.98 (1 + 1.98)^(1/10) - 1 = 11.54%

Dmitry Shevchenko

-5 мес.

Hey, thanks for your patience, just got to the data. 55.47 seems incorrect for the total dividends paid. You can instead use the adjusted prices (they have dividends baked in) for the exact ten-year period:

Oct 20, 2025: 67.14
Oct 20, 2015: 30.83

(67.14 / 30.83) ^ (1/10) = 8.1%

Arnaud07 ноября 25 г.

ok thank you!

Категория

Общая

Просмотры

201