Analysis - P/L and Cost

1. Trends in Total Assets

The X-axis represents time, and the dates at the two ends are the beginning and the end of the period respectively; the Y-axis is total assets, and the point on the curve is the total assets of your account in the same currency after daily settlement. If it is not a trading day, it is equal to the net asset value after settlement on the previous trading day.

2. Yield Curve

The X axis is time, and the dates at the two ends are the beginning and end of the period. The Y-axis is the rate of return, and the point on the curve represents the cumulative rate of return of your total assets from the beginning of the period (0%) to the day, and compared with the index of the same period. This is not the annualized rate of return, but the cumulative rate of return from the beginning of the period to the day.

3. Total P/L

Total P/L = Ending asset - Beginning asset - Net cash flows

Calculated based on the ending assets, beginning assets, and net inflows. It is the total profit and loss, including trading profit and loss, transaction costs, dividends,  interest costs, and exchange gains and losses.

4. Net Cash Flows

Net cash flows = cash deposits - cash withdrawals + transfer-in stocks-transfer-out stocks 

Contains two parts:

(1) Cash deposit and withdrawals: refers to depositing or withdrawing funds, excluding cash seeds and gift shares;

(2) Stock transfer : Calculated based on the closing price of the transfer in/out stock on the day. If a cost price is set for the transferred stock, the set price will be priority used;

5. Yield

Futu uses three methods for cumulative rate of return

5.1 Time-Weighted Rate of Return (TWR)

Time-weighted rate of return = [1 * (1 + the rate of return on the first day) * (1 + the rate of return on the second day)... * (1 + the rate of return on the end day)-1] * 100%

Today's Yield = Today's Income / (Yesterday's total assets +0.5*Today's net inflows)

When the account has frequent large deposits and withdrawals, the rate of return and the total P/L may be opposite, for example:

(1) T day: the total assets at the beginning of the day are $100, there is no net inflow, and the total assets at the end of T day are 150, the return on T day is positive $50, and the return on the day is +50.00%

(2) T+1 day: the total assets at the beginning of the day is 150, the net inflow of the day is 1000, and the total assets at the end of the day is 1050, the return on the day is negative $100, and the return rate on the day = -15.38%

(3) In [T,T+1], time-weighted rate of return = [(1+50.00%)×(1-15.38%)-1]*100% = +26.93%, but total P/L = +50-100 =-50

In this period, the rate of return is meaningless, please refer to the total P/L or change to other methods.

5.2 Money-Weighted Rate of Return (MWR/Modified Dietz)

Money-weighted yield = Total P/L / Adjusted beginning assets

Adjusted beginning assets = Beginning assets + Σ (Weight of cash flows * Cash flows)

where Weight  = (Days in period - Day of cash flow) / Days in period

This calculation improves on the accuracy of the original as it gets more precise by weighting the capital invested by the number of days it is within the portfolio. This ensures that capital which is in the fund longer has a responsibility to generate more returnl.

5.3 Simple Rate of Return (Original Dietz Method)

Original Dietz = Total P/L / (Beginning assets + 0.5 * Net cash flows during the period)

In an attempt to simplify the time consuming and onerous task of keep track of when external cash flows were received during the period, the formula simply multiplies the net external cash flows by 50% to assume that they were received in the middle of the period and available for investment during half of the time.