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We derive a holomorphic anomaly equation for the Vafa-Wittenpartition function for twisted four-dimensional \mathcal{N} =4 𝒩 = 4 super Yang-Mills theory on \mathbb{CP}^{2} ℂ ℙ 2 for the gauge group SO(3) S O ( 3 ) from the path integral of the effective theory on the Coulomb branch.The holomorphic kernel of this equation, which receives contributionsonly from the instantons, is not modular but ‘mock modular’. Thepartition function has correct modular properties expected from S S -dualityonly after including the anomalous nonholomorphic boundary contributionsfrom anti-instantons. Using M-theory duality, we relate this phenomenonto the holomorphic anomaly of the elliptic genus of a two-dimensionalnoncompact sigma model and compute it independently in two dimensions.The anomaly both in four and in two dimensions can be traced to atopological term in the effective action of six-dimensional (2,0) ( 2 , 0 ) theory on the tensor branch. We consider generalizations to othermanifolds and other gauge groups to show that mock modularity is genericand essential for exhibiting duality when the relevant field space isnoncompact.