Add TWR test scenario 1 (#236)
* Add TWR test scenario 1 * fix second transaction item * change time-weighted rate algorithm Co-authored-by: Valentin Zickner <valentin.zickner@flowable.com>
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@ -7,7 +7,7 @@ import { TimelineSpecification } from '@ghostfolio/api/app/core/interfaces/timel
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import { TransactionPoint } from '@ghostfolio/api/app/core/interfaces/transaction-point.interface';
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import { PortfolioCalculator } from '@ghostfolio/api/app/core/portfolio-calculator';
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import { OrderType } from '@ghostfolio/api/models/order-type';
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import { DATE_FORMAT, resetHours } from '@ghostfolio/common/helper';
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import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper';
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import { Currency } from '@prisma/client';
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import Big from 'big.js';
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import {
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@ -35,13 +35,23 @@ function mockGetValue(symbol: string, date: Date) {
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}
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} else if (symbol === 'AMZN') {
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return { marketPrice: 2021.99 };
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} else if (symbol === 'MFA') {
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if (isSameDay(parseDate('2010-12-31'), date)) {
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return { marketPrice: 1 };
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} else if (isSameDay(parseDate('2011-08-15'), date)) {
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return { marketPrice: 1.162484 }; // 1162484 / 1000000
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} else if (isSameDay(parseDate('2011-12-31'), date)) {
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return { marketPrice: 1.097884981 }; // 1192328 / 1086022.689344541
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}
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return { marketPrice: 0 };
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} else if (symbol === 'TSLA') {
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if (isSameDay(parse('2021-07-26', DATE_FORMAT, new Date()), date)) {
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return { marketPrice: 657.62 };
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}
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if (isSameDay(parse('2021-01-02', DATE_FORMAT, new Date()), date)) {
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} else if (isSameDay(parse('2021-01-02', DATE_FORMAT, new Date()), date)) {
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return { marketPrice: 666.66 };
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}
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return { marketPrice: 0 };
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} else {
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return { marketPrice: 0 };
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@ -726,7 +736,7 @@ describe('PortfolioCalculator', () => {
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// see next test for details about how to calculate this
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grossPerformance: new Big('240.4'),
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grossPerformancePercentage: new Big(
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'0.349632913145865078264579821060810370805662039085569533288730749607797361322474717934042420125015808'
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'0.0883940790487647710162214425767848424215253864940558186258745429269647266073266478435285352186572448'
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),
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investment: new Big('4460.95'),
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marketPrice: 194.86,
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@ -781,11 +791,12 @@ describe('PortfolioCalculator', () => {
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.mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24
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// 2020-01-01 -> days 334 => value: VTI: 144.38+334*0.08=171.1 => 10*171.10=1711
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// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711=1.100526008 - 1 = 0.100526008
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// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711 = 1.100526008
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// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 20*188.30=3766
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// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/3766=1.034838024 - 1 = 0.034838024
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// cash flow: 2923.7-1443.8=1479.9
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// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/(1883+1479.9) = 1.158880728
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// gross performance: 1883-1711 + 3897.2-3766 = 303.2
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// gross performance percentage: 1.100526008 * 1.034838024 = 1.138866159 => 13.89 %
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// gross performance percentage: 1.100526008 * 1.158880728 = 1.275378381 => 27.5378381 %
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parse('2020-01-01', DATE_FORMAT, new Date())
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@ -805,7 +816,7 @@ describe('PortfolioCalculator', () => {
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transactionCount: 2,
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grossPerformance: new Big('303.2'),
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grossPerformancePercentage: new Big(
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'0.1388661601402688486251911721754180022242'
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'0.2753783814827239834392742298083677500037'
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),
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name: 'Vanguard Total Stock Market Index Fund ETF Shares',
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currency: 'USD'
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@ -813,6 +824,74 @@ describe('PortfolioCalculator', () => {
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]
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});
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});
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/**
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* Source: https://www.investopedia.com/terms/t/time-weightedror.asp
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*/
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it('with TWR example from Investopedia: Scenario 1', async () => {
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const portfolioCalculator = new PortfolioCalculator(
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currentRateService,
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Currency.USD
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);
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portfolioCalculator.setTransactionPoints([
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{
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date: '2010-12-31',
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items: [
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{
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name: 'Mutual Fund A',
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quantity: new Big('1000000'), // 1 million
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symbol: 'MFA',
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investment: new Big('1000000'), // 1 million
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currency: Currency.USD,
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firstBuyDate: '2010-12-31',
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transactionCount: 1
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}
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]
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},
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{
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date: '2011-08-15',
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items: [
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{
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name: 'Mutual Fund A',
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quantity: new Big('1086022.689344541'), // 1,000,000 + 100,000 / 1.162484
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symbol: 'MFA',
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investment: new Big('1100000'), // 1,000,000 + 100,000
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currency: Currency.USD,
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firstBuyDate: '2010-12-31',
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transactionCount: 2
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}
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]
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}
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]);
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const spy = jest
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.spyOn(Date, 'now')
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.mockImplementation(() => new Date(Date.UTC(2011, 11, 31)).getTime()); // 2011-12-31
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parseDate('2010-12-31')
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);
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spy.mockRestore();
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expect(currentPositions).toEqual({
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hasErrors: false,
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positions: [
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{
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averagePrice: new Big('1.01287018290924923237'), // 1'100'000 / 1'086'022.689344542
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firstBuyDate: '2010-12-31',
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quantity: new Big('1086022.689344541'),
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symbol: 'MFA',
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investment: new Big('1100000'),
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marketPrice: 1.097884981,
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transactionCount: 2,
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grossPerformance: new Big('92327.999656600898394721'), // 1'192'328 - 1'100'000 = 92'328
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grossPerformancePercentage: new Big('0.09788498099999947808927632'), // 9.79 %
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name: 'Mutual Fund A',
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currency: 'USD'
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}
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]
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});
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});
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});
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describe('calculate timeline', () => {
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@ -195,6 +195,8 @@ export class PortfolioCalculator {
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firstIndex--;
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}
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const invalidSymbols = [];
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const lastInvestments: { [symbol: string]: Big } = {};
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const lastQuantities: { [symbol: string]: Big } = {};
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for (let i = firstIndex; i < this.transactionPoints.length; i++) {
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const currentDate =
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i === firstIndex ? startString : this.transactionPoints[i].date;
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@ -217,11 +219,21 @@ export class PortfolioCalculator {
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);
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continue;
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}
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let currentValue = marketSymbolMap[currentDate]?.[item.symbol];
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if (!isAfter(parseDate(currentDate), parseDate(item.firstBuyDate))) {
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currentValue = item.investment.div(item.quantity);
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let lastInvestment: Big = new Big(0);
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let lastQuantity: Big = item.quantity;
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if (lastInvestments[item.symbol] && lastQuantities[item.symbol]) {
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lastInvestment = item.investment.minus(lastInvestments[item.symbol]);
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lastQuantity = lastQuantities[item.symbol];
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}
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if (!currentValue) {
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const itemValue = marketSymbolMap[currentDate]?.[item.symbol];
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let initialValue = itemValue?.mul(lastQuantity);
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let investedValue = itemValue?.mul(item.quantity);
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if (!isAfter(parseDate(currentDate), parseDate(item.firstBuyDate))) {
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initialValue = item.investment;
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investedValue = item.investment;
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}
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if (!initialValue) {
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invalidSymbols.push(item.symbol);
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hasErrors = true;
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console.error(
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@ -229,18 +241,25 @@ export class PortfolioCalculator {
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);
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continue;
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}
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holdingPeriodReturns[item.symbol] = oldHoldingPeriodReturn.mul(
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marketSymbolMap[nextDate][item.symbol].div(currentValue)
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const cashFlow = lastInvestment;
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const endValue = marketSymbolMap[nextDate][item.symbol].mul(
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item.quantity
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);
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const holdingPeriodReturn = endValue.div(initialValue.plus(cashFlow));
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holdingPeriodReturns[item.symbol] =
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oldHoldingPeriodReturn.mul(holdingPeriodReturn);
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let oldGrossPerformance = grossPerformance[item.symbol];
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if (!oldGrossPerformance) {
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oldGrossPerformance = new Big(0);
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}
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grossPerformance[item.symbol] = oldGrossPerformance.plus(
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marketSymbolMap[nextDate][item.symbol]
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.minus(currentValue)
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.mul(item.quantity)
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);
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const currentPerformance = endValue.minus(investedValue);
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grossPerformance[item.symbol] =
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oldGrossPerformance.plus(currentPerformance);
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lastInvestments[item.symbol] = item.investment;
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lastQuantities[item.symbol] = item.quantity;
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}
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}
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