How we treat missing prices in a holdings file

Every quarter someone sends a spreadsheet with a hole where a price should be. Sometimes the line is a private company last valued at the year-end. Sometimes it is a dual-listed name whose local close was a public holiday. Sometimes it is a residual stub after a spin-off that the custodian has not mapped.

Our house rule is written into the engagement letter. If the missing line is under half a percent of the portfolio at the last known weight, we carry the previous price, label the exhibit ‘carried mark’, and name the line in a footnote. If it is larger, we pause. We do not interpolate a private company’s value because the public market had a good week.

Cash flows on the same day as a missing mark are worse. A contribution that arrives when a sleeve cannot be priced will distort time-weighted return if we pretend the sleeve was whole. In that case we either isolate the sleeve until the administrator prices it, or we refuse the time-weighted figure for the period and report a simple money-weighted number with a warning on the cover.

Stock-in-specie transfers generate a special kind of hole: a line appears without a purchase in the transaction file. We ask for the transfer letter. Without it, the opening weight is a guess, and contribution tables become fiction.

Clients sometimes ask us to ‘just use Yahoo’ for a suspended stock. We will not. A last trade from a previous month is not a valuation. It is a rumour with a timestamp. The pack can show the last administrator mark and the date of that mark. That is less tidy and more honest.

The practical request we make at intake: send the administrator’s exception report, not only the pretty holdings tab. The exception report is where the blanks live, and it is where a later dispute will start.