Daily and Monthly Time Series

Daily Time Series

Item ID Item Name Definition Header
fdnav Daily Net Asset Value Daily value of the fund’s underlying assets (including cash) minus its liabilities (fees, expenses, etc.) divided by the number of shares outstanding.

Data available beginning September 2, 1998
NAV
fdret Daily Total Returns Total daily returns per share associated with given date. Returns calculations details in inset below.

Data available beginning September 2, 1998
Returns

Monthly Time Series

Item ID Item Name Definition Header
fmnav Monthly Net Asset Value Daily value of the fund’s underlying assets (including cash) minus its liabilities (fees, expenses, etc.) divided by the number of shares outstanding.

Data available beginning December 1961
NAV
fmret Monthly Total Return Total monthly returns per share associated with given date. Returns calculations details in inset below.

Data available beginning December 1961
Returns
fmtna Monthly Total Net Assets Monthly TNA is equal to total assets minus total liabilities as of month-end. Reported in millions of dollars.

Data available beginning December 1961. Annual data are available through 1969, Quarterly through 1990, and monthly from that point forward.

Beginning in September 1998, 0.1 reflects all total net asset values <= $100,000.
TNA

Note about returns:

Daily and monthly returns values are calculated as a change in NAV including reinvested dividends from one period to the next. Navs are net of all management expenses and 12b-fees. Front and rear load fees are excluded from the calculation of NAV and therefore do not impact the calculation of returns.

Returns are calculated as follows:

Where t-1 may be up to 3 periods prior to t. The cumfact variable is calculated for the period in the following manner:

For each fund we calculate a total adjustment factor for each day the fund trades. The total adjustment factor starts out as 1 for a given day and then is modified depending on the types of dividends found for that fund and day.

Adjustment factors for each dividend on a given day are calculated as follows:

If first letter of dis_type is either C or D then adj = dis_amt/reinvest_nav

where from the Dividends table,

adj = Adjustment Factor
dis_amt = Distribution amount
reinvest_nav = Reinvestment amount of daily or monthly NAV

If the first letter of dis_type is a S then adj = 1/spl_ratio

where from the Dividends table,

adj = Adjustment Factor
spl_ratio = Split Ratio

The total adjustment factor, totadj, for a given day is updated for each dividend as follows:

If the dis_type = S then totadj = totadj * adj
If the dis_type = C or D then the totadj = totadj + adj

The dividend file is sorted in distribution type order which implies that when splits and cash dividends occur on the same day, the cash dividends are processed first.

Finally cumfact starts with the value of 1 and is calculated for the period of the return in the following manner: For each day in the holding period, cumfact = cumfact * totadj.