Performance Reporting

The Performance page allows you to analyze how your accounts, folios, or non-folio holdings have performed. The performance graph shows a time-weighted return of the aggregate performance of all the securities you have held in the specified account, folio or non-folio holding during the period that you specify. We track data from the day you open your account and allow you to specify any period from that time onward to generate a performance graph. Any new securities begin contributing to performance the day you buy them and any securities that you sell cease contributing to performance the day that you sell them.

The performance numbers are not annualized returns. Instead, they are the returns during the chosen period. If you select a one year period then you will have an annual return, but if you select a week, or a month, or another time period then you will see the return for that period.

We can display returns with and without fees. Learn more about returns with fees and returns without fees.

In addition, we display the personal rate of return on the Performance page in the Portfolio Summary sidebar. Learn more about personal rate of return.

We make reasonable attempts to prepare the charts and performance information we provide in a manner consistent with basic performance reporting methodology. Charts and other performance reports are prepared on demand by our system based on specific information requested by the user, are not audited, and may contain errors, exhibit anomalies under certain circumstances and conditions, or be assembled from historical, not real time, pricing information.

Past performance is no guarantee of future results. Performance data quoted herein represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that your investment, when redeemed, may be worth more or less than their original value. Current performance may be lower or higher than the performance data provided.

We use the Mid-Weighted Dietz Method to calculate daily returns and then geometrically link those returns to produce a time-weighted return series.

The Mid-Weighted Dietz Method is commonly used to approximate a true time-weighted return, which is most useful for comparing performance to a benchmark. Time-weighted returns remove the impact of cash and security movement into or out of a folio or account in order to capture the performance of the strategy rather than the timing and size of the cash and security movement. Consequently, these returns are not a measure of the actual profit or loss, or actual cash return of your portfolio or account.

We can display returns with and without fees, therefore, we have two return calculations. Please note that items accrued, both debits (e.g., margin interest charges) and credits (e.g., sweep interest credits), are not included in performance calculation until they are posted to your account.

The Mid-Weighted Dietz Method Without Fees

• EMV = Ending Market Value.
  This is the market value of your portfolio at the end of the period to be tested.
• EA = Ending Accrual.
  This is the total amount of interest and/or dividends that have been accrued at the end of the period and have not yet been paid out to the portfolio.
• BMV = Beginning Market Value.
  This is the market value of your portfolio at the beginning of the period to be tested.
• BA = Beginning Accrual.
  This is the total amount of interest and/or dividends that have been accrued at the beginning of the period and have not yet been paid out to the portfolio.
• CF = Total Cash Flows During the Period.
  Inflows of cash are treated as a positive number, while outflows are treated as a negative number.
• R = Total Return for the Day.
  After the Mid-Weighted Dietz calculation, this number is then used in the Unit Value calculation.

The Mid-Weighted Dietz Method With Fees

• F = Fees.
  This is the total amount of fees that have been accrued or withdrawn from the account or folio. Fees are defined as transactions, such as wire transfer fees, and ADR fees. Trade commissions and SRO fees are part of the cost of a transaction, and are therefore included in both return calculations.

The “personal rate of return” is useful in measuring the performance of an individual folio or account. The personal rate of return is the same as the internal rate of return (IRR), which takes into account the timing and size of cash and security movement into or out of the folio or account when measuring performance.

The IRR cannot be computed directly, but requires a trial and error process to converge on a return. In some circumstances the IRR can produce an error or a counter intuitive result due to the unique series of cash and security movements into or out of the folio or account. If N/A is displayed the return cannot be found for the given period.

IRR Calculation

• NPV = Net Present Value.
  The beginning value of the folio or account of the selected time period.
• Cn = Cash/security movement on day n.
• r = IRR.
  The return where the sum of the cash and securities movements over the period is equal to the NPV.

The solved IRR is in annualized form therefore one final calculation is required to reflect the chosen period.

• t = Total Time. The difference in days between the start date and end date of the chosen time period.

The “return without fees” calculates the performance of the folio or account without the impact of fee transactions, such as wire transfer fees. Trade commissions, if charged, and SRO fees are not fee transactions, but are incorporated in the cost of the original transaction and are included in this return calculation.

The “return with fees” calculates the performance of the folio or account with the impact of fee transactions, such as wire transfer fees. Trade commissions, if charged, and SRO fees are not fee transactions, but are incorporated in the cost of the original transaction and are included in this return calculation.

Yes, dividends and other distributions, such as capital gains and interest, are included in both folio and account performance as of the ex-date (date that new buyers are not entitled to the dividend), when available from our data vendor. Accrual information that is not available until payment date will trigger a recalculation of the folio or account performance back to the ex-date of the transaction to provide accurate returns.

You can download returns with and without fees by selecting the Download Data icon on the Performance page. The download will provide daily returns for each trading day for the time range selected on the performance graph. The download also includes daily market values, the amount of cash or security movement into or out of a folio or account, dividend and distribution accrual amounts from ex-date (i.e., the date you are entitled to the distribution) to payment date, and fees.

The “total flow” is the net movement of cash and securities into or out of a folio or account on a particular day. Cash and security movements out are negative, while movements in are positive. Cash and security movements (or flows) at the folio level are different from flows at the account level.

For example, if $100 of IBM is purchased in a folio from cash available at the account, then the folio is said to have an inflow of $100, whereas the account has no movement since cash is reduced by $100 and securities are increased by the same $100.

Security transfers into or out of a folio or account are valued at their previous closing price multiplied by the number of shares moved, for the purpose of calculating the performance of the folio or account.

Flows at the folio level may be caused by trade or transfer activity, corporate actions, distributions such as dividends, or fees. For example, a dividend paid into a folio will move out of the folio and into cash the day it is paid. Flows at the account level are due to deposits, withdrawals, transfers, or fees.

The “Save Comparison” button allows you to save a single benchmark per folio or account. If multiple benchmarks are displayed on the performance graph then the save feature will ask you to select a single benchmark. The next time you revisit performance for the folio or account the benchmark will be displayed automatically. This feature may not be available based on access level.

The “Reset View” button allows you to reset the performance page to the default settings. The default settings are returns without fees, filled line chart, and trailing 1-year time period.

You can minimize the Portfolio Summary by selecting the double arrow icon in the top right corner, or by selecting the arrow on the border between the graph and the side bar.

We currently have unfunded Ready-to-Go folios displayed on our website. Learn more about why your Ready-to-Go performance may be different from the performance reported on our website.

Unfunded Ready-to-Go folio performance is calculated using the same methodology used on our website to calculate performance for funded folios—the Mid-Weighted Dietz Method. At launch, each folio has a hypothetical market value, which then changes over time based on the changing value of the underlying holdings. Corporate actions such as dividends, splits, spin-offs, etc., are processed in the same fashion as for funded folios, with hypothetical money and shares exchanged rather than real dollars or shares. Unfunded folio corporate actions are not validated or audited, which may result in errors in the performance results presented. Cash distributions (i.e., dividends, capital gains, returns of capital) earned in an unfunded folio are automatically reinvested into the securities that paid them using the security close price of the date paid.

When unfunded Ready-to-Go folios are rebalanced, buys and sells are calculated to return the folio to its target weights—these hypothetical transactions assume a full execution of the shares needed at closing prices or 15 minute delayed prices on the day of rebalance, depending on the time of the update. When the buys and sells cannot be offset exactly the resulting cash difference is hypothetically invested into FDIC.CASH—the symbol for our cash product. In most cases, this cash investment is a negligible portion of the unfunded folio and will be hypothetically invested in the target model holdings (if possible) in the next rebalance.

To determine if a Ready-to-Go folio has been funded click on the folio name and check the “Date Funded:” under the Performance tab on the right side. If there is a date provided the Ready-to-Go folio has been funded, if N/A is shown then the folio has not been funded.

The 3- and 5-Year RTG returns displayed on our website are annualized. We calculate annualized returns using the Compound Annual Growth Rate (CAGR). This calculation will smooth the total return of the period into a steady annual growth rate.

For example, if an RTG gained 30% in the first year and lost 10% in the second year then the total return for the 2 year period is 17% (i.e. (1 + 0.30) × (1 − 0.1) = 1.17 −1 = 17%). The CAGR will smooth this return to an annual return of 8.17% a year. See the CAGR calculation below.

Model folio returns are calculated using the same methodology used on our website to calculate performance for funded folios—the Mid-Weighted Dietz Method. At launch, each model folio has a hypothetical market value, which then changes over time based on the changing value of the underlying holdings. Corporate actions such as dividends, splits, spin-offs, etc., are processed in the same fashion as for funded folios, with hypothetical money and shares exchanged rather than real dollars or shares. Model corporate actions are not validated or audited, which may result in errors in the performance results presented. Cash distributions (i.e., dividends, capital gains, returns of capital) earned in a model folio are automatically reinvested into the securities that paid them.

When model folios are rebalanced, buys and sells are calculated to return the model folio to its target weights—these hypothetical transactions assume a full execution of the shares needed at the closing prices on the day of rebalance. When the buys and sells cannot be offset exactly the resulting cash difference is hypothetically invested into FDIC.CASH—the symbol for our cash product. In most cases, this cash investment is a negligible portion of the model and will be hypothetically invested in the model holdings (if possible) in the next rebalance.

Performance is based on the model’s tracking folio, which does not constitute a composite for purposes of GIPS reporting.

Indexes can be removed by either selecting the name of the comparison in the top legend of the graph or by unselecting the index in the comparison menu drop-down. Securities such as stocks, ETFs, and mutual funds can only be removed by selecting the name of the comparison in the top legend.

Actual customer performance may vary from the Ready-to-Go (RTG) folio performance shown on the website for a variety of reasons. The most common reasons are listed below:

1. Differences in trade price.

   Unfunded RTGs are hypothetically rebalanced using closing (or 15 minute delayed) prices that customers are unable to match, so performance will differ over time. The more frequent an unfunded RTG is rebalanced the faster customer performance will deviate from the reported RTG performance. For an explanation of unfunded RTG performance see the RTG section above.

2. Delayed updates.

   Customers may not update their folio the same day or at the same time the RTG is rebalanced, or customers may not update their folio at all. Both are reasons for client performance to differ from reported performance.

3. Folio customization.

   Customers may choose to customize their folios by adding or removing securities or changing the weights for the securities from the weights used by the RTG. If there is a difference in holdings between the RTG and the customer folio then performance will differ.

4. RTG purchase date.

   The customer must hold the RTG for at least the same time period as the reported performance period shown on the website. For example, if a customer purchases an RTG in the middle of the month then their performance will not match the reported one month performance for that RTG.

5. Corporate actions.

   Customers may choose to participate in certain voluntary corporate actions (such as a rights issue) that will result in different holdings than those in the RTG. In addition, the client and RTG holdings may be entitled to different corporate actions depending on the purchase date.

6. Dividend reinvestment.

Remember that past performance of a Ready-to-Go folio is not an indication of future performance. Like all investing, investing in folios involves risk, including the risk that you may suffer the loss of your investment. We present this performance for informational purposes only. This document should not be regarded as an offer to sell or as a solicitation of an offer to buy a folio.

A portfolio is generated using the Ready-to-Go folio’s current holdings to find the volatility, which is calculated as the annualized standard deviation of 1 year of daily returns. If a holding does not have sufficient history, it is eliminated from the portfolio for the volatility calculation purpose and the remaining holdings are reweighted to reflect the change and the volatility calculation is re-run. The volatility calculation starts with the current holdings to capture the risk of the Ready-to-Go folio if invested in today. The volatility figure will reflect holding changes to the Ready-to-Go folios the day after being updated and in all cases subject to the requirement that a holding have a history of at least 1 year of daily returns.

The performance return calculation determines your returns based on your actual holdings over time. Backtest takes your current holdings and their weights in the portfolio and uses those current holdings and weights as the beginning holdings and weights for the period you specify. This is useful if you are attempting to test how certain portfolios would have performed if you had owned them in the past. Backtest is not an accurate calculation, however, of your actual portfolio performance or of the model portfolio performance (see performance calculations above).

Backtest and performance will also almost always generate different numbers, even if you specify the same time period and the same holdings for both. Backtest starts with the positions and weights you specify while performance looks at the actual positions and weights during the period.

Total cash and security movement into or out of the account over the time period selected. Cash and security movements out are negative, while movements in are positive. Cash and security movements can be due to deposits, withdrawals, transfers, or fees.

The “Accrued” column reflects open accruals on any given day. Accruals are dividends and other distributions that are expected to be paid to the folio, but have not been paid yet. These pending dividends and distributions will be reflected in the “Accrued” column from ex-date (date that new buyers are not entitled to the dividend) up until pay-date (date the distribution is expected to be paid by the company or fund).

The accrual is added to the market value since the folio is entitled to the dividend or distribution. In addition, the accrual will offset the security price drop on the ex-date (since the security price drops on this day to reflect the distribution) if a record of the dividend is available from our data vendor on ex-date. If the dividend or distribution is paid as expected then the accrual amount will not be reflected in the “Accrued” column on pay-date because the dividend has been paid to the folio and therefore is already included in the market value. The “Accrued” column will change as new dividends or distributions accrue or as they are paid.