Average net assets

Caveat: This page is for collaboration to determine a fund's average net assets. In preliminary development, results and analysis will change.

This parameter is useful, as it is the basis to derive several key metrics such as:
 * Capital gain "yield", expressed as capital gains / average net assets
 * Commission expense ratios, Commissions / Average Net Assets
 * Redemption to Average Net Asset (R/ANA)
 * Redemption to Sales (R/S) ratios

Average net assets is not available in the fund's annual report and must be derived by data mining various SEC filings.

An approximation can be utilized for funds that only have a single share class uses either of these approaches:
 * The net expenses and divided them into the expense ratio. This is simply algebraic substitution. if ER= expenses/average net assets; then average net assets=expenses/ER
 * The net investment income and divided it into the ratio of net investment income ratio. Similar substitution yields average net assets= investment income/yield

For funds having multiple share classes (investor, admiral, institutional, ETF), this method does not work because expenses or incomes are not broken down by share class.

The approach is to then use documented average assets. A true average net asset figure would consist of 13 data points: the beginning net asset figure and the ensuing 12 end of month net asset figures. The annual and semiannual reports document 3 data  points for each fund, a beginning net asset figure, a mid year figure, and a year end figure.

SEC data extraction

 * SEC form template: FORM N-SAR, Semi-Annual Report
 * Example filing: NSAR file for Vanguard International Funds 10/1/2010

7. A. Is Registrant a series or multiple portfolio company? (Y/N) ___[If answer is “N” (No), go to item 8.] B. How many separate series or portfolios did Registrant have at the end of the period? __ C. List the name of each series or portfolio and give a consecutive number to each series or portfolio starting with the number 1. USE THIS SAME NUMERICAL DESIGNATION FOR EACH SERIES OR PORTFOLIO...

007 A000000 Y 007 B000000 6 007 C010100 1 007 C020100 VANGUARD EUROPEAN STOCK INDEX FUND 007 C030100 N 007 C010200 2 007 C020200 VANGUARD PACIFIC STOCK INDEX FUND 007 C030200 N 007 C010300 3 007 C020300 VANGUARD EMERGING MARKETS STOCK INDEX FUND 007 C030300 N 007 C010400 4 007 C020400 VANGUARD FTSE ALL-WORLD EX-US INDEX FUND 007 C030400 N 007 C010500 5 007 C020500 VANGUARD TOTAL WORLD STOCK INDEX FUND 007 C030500 N 007 C010600 6 007 C020600 FTSE ALL-WORLD EX-US SMALL CAP INDEX FUND 007 C030600 N

75. Average net assets during the current reporting period ($000’s omitted). Answer only one: A. Daily average (for money market funds)___ $ __ B. Monthly average (for all other funds) ___ $ __

075 A000100       0 075 B000100 11476459 075 A000200       0 075 B000200 6157714 075 A000300       0 075 B000300 38729614 075 A000400       0 075 B000400 9008249 075 A000500       0 075 B000500  854086 075 A000600       0 075 B000600  559740 The data field columns align consistently throughout the report. Import the file into Excel, text to columns, filter using text, lookup and reference functions.

Question 7 says that Yes, there are multiple funds in this portfolio. There are 6, identified 1 through 6 as shown. Question 7 also clarifies that this numbering scheme is to be used consistently throughout the report.

The format is: QQQ qfffff nnnnnnn, where QQQ is the question number, q is the sub-question part, e.g. Q.q, ffff is the fund number as determined in Question 7, nnnnnnn is the value.