I'm still a little unclear on your requirements. Can you provide the results you are trying to get?

This is a guess and might be the whole thing you're trying to avoid, but what about changing the sort order to ASC on day_id and then using this:

update #DMVRunningPerformance

set

@DailyPerformance=DailyPerf=CASE WHEN @NewGroup_bt=1 THEN 0 ELSE

(MV - @NDMarketValue)/ @NDMarketValue END,

@RunningPerformance=RunningPerf=CASE WHEN @NewGroup_bt=1 THEN 0 ELSE

((1 + @RunningPerformance) * (1 + @DailyPerformance)) - 1 END,

@NDMarketValue=MV,

@NewGroup_bt=0

FROM #DMVRunningPerformance OPTION (MAXDOP 1)