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For example, if we consider the fund "iShares Core U.S. Aggregate Bond ETF (AGG)", I am trying to figure out how the yearly/Monthly returns are being calculated.

I extracted the historical NAV values from the site: https://www.ishares.com/us/products/239458/ishares-core-total-us-bond-market-etf#/, where I click on Download on the top right of the page.

I am trying to reconcile the returns by calculating them from the Historical tab values and matching it with the monthly performance values in the Performance tab.

If we consider the month of October 2003, I calculate the end of month return as shown:

enter image description here

The resulting value is -0.96%, which matches with the return in the Performance tab.

But if we consider the month of November 2003, calculating the return the same way does not match with the performance return in the Performance tab (0.22%).

enter image description here

My question is, how does one calculate the returns of bond funds, taking into account the regular monthly payouts?

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The return for November should be calculated from Oct 31, 2003 to Nov 28, 2003. From last day of month to last day of month. And the payout should be included.

The simplest method that includes the payout is the Simple Dietz Method, which gives the following for November 2003:

$$R=\frac{B - A - C}{A +C/2}$$

In this case the Cash Flow C is a withdrawal from the protfolio, so it is negative:

$$R=\frac{101.13-101.27-(-0.36)}{101.27-0.36/2}=0.0021762$$ or approx 0.22%

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  • $\begingroup$ Absolutely helpful. Thank you! $\endgroup$ – NOLASKO ABREU Sep 11 at 5:24
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yahoo finance has downloadable price history for this and others. They include the adjusted price which can be used to calculate the total return without any adjustments.

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