Feature/improve annualized performance (#651)

* Improve annualized performance calculation

* Update changelog

CHANGELOG.md

@@ -5,6 +5,12 @@ All notable changes to this project will be documented in this file.
 The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),
 and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
 
+## Unreleased
+
+### Changed
+
+- Improved the annualized performance in the new calculation engine
+
 ## 1.107.0 - 24.01.2022
 
 ### Added

apps/api/src/app/portfolio/interfaces/current-positions.interface.ts

@@ -6,7 +6,7 @@ export interface CurrentPositions {
   positions: TimelinePosition[];
   grossPerformance: Big;
   grossPerformancePercentage: Big;
-  netAnnualizedPerformance: Big;
+  netAnnualizedPerformance?: Big;
   netPerformance: Big;
   netPerformancePercentage: Big;
   currentValue: Big;

apps/api/src/app/portfolio/portfolio-calculator-new.spec.ts

@@ -0,0 +1,73 @@
+import Big from 'big.js';
+
+import { CurrentRateService } from './current-rate.service';
+import { PortfolioCalculatorNew } from './portfolio-calculator-new';
+
+describe('PortfolioCalculatorNew', () => {
+  let currentRateService: CurrentRateService;
+
+  beforeEach(() => {
+    currentRateService = new CurrentRateService(null, null, null);
+  });
+
+  describe('annualized performance percentage', () => {
+    const portfolioCalculatorNew = new PortfolioCalculatorNew({
+      currentRateService,
+      currency: 'USD',
+      orders: []
+    });
+
+    it('Get annualized performance', async () => {
+      expect(
+        portfolioCalculatorNew
+          .getAnnualizedPerformancePercent({
+            daysInMarket: NaN, // differenceInDays of date-fns returns NaN for the same day
+            netPerformancePercent: new Big(0)
+          })
+          .toNumber()
+      ).toEqual(0);
+
+      expect(
+        portfolioCalculatorNew
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 0,
+            netPerformancePercent: new Big(0)
+          })
+          .toNumber()
+      ).toEqual(0);
+
+      /**
+       * Source: https://www.readyratios.com/reference/analysis/annualized_rate.html
+       */
+      expect(
+        portfolioCalculatorNew
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 65, // < 1 year
+            netPerformancePercent: new Big(0.1025)
+          })
+          .toNumber()
+      ).toBeCloseTo(0.729705);
+
+      expect(
+        portfolioCalculatorNew
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 365, // 1 year
+            netPerformancePercent: new Big(0.05)
+          })
+          .toNumber()
+      ).toBeCloseTo(0.05);
+
+      /**
+       * Source: https://www.investopedia.com/terms/a/annualized-total-return.asp#annualized-return-formula-and-calculation
+       */
+      expect(
+        portfolioCalculatorNew
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 575, // > 1 year
+            netPerformancePercent: new Big(0.2374)
+          })
+          .toNumber()
+      ).toBeCloseTo(0.145);
+    });
+  });
+});

apps/api/src/app/portfolio/portfolio-calculator-new.ts

@@ -10,7 +10,6 @@ import {
   addMilliseconds,
   addMonths,
   addYears,
-  differenceInDays,
   endOfDay,
   format,
   isAfter,
@@ -130,7 +129,10 @@ export class PortfolioCalculatorNew {
     netPerformancePercent: Big;
   }): Big {
     if (isNumber(daysInMarket) && daysInMarket > 0) {
-      return netPerformancePercent.mul(daysInMarket).div(365);
+      const exponent = new Big(365).div(daysInMarket).toNumber();
+      return new Big(
+        Math.pow(netPerformancePercent.plus(1).toNumber(), exponent)
+      ).minus(1);
     }
 
     return new Big(0);
@@ -151,7 +153,6 @@ export class PortfolioCalculatorNew {
         hasErrors: false,
         grossPerformance: new Big(0),
         grossPerformancePercentage: new Big(0),
-        netAnnualizedPerformance: new Big(0),
         netPerformance: new Big(0),
         netPerformancePercentage: new Big(0),
         positions: [],
@@ -632,10 +633,6 @@ export class PortfolioCalculatorNew {
     let netPerformance = new Big(0);
     let netPerformancePercentage = new Big(0);
     let completeInitialValue = new Big(0);
-    let netAnnualizedPerformance = new Big(0);
-
-    // use Date.now() to use the mock for today
-    const today = new Date(Date.now());
 
     for (const currentPosition of positions) {
       if (currentPosition.marketPrice) {
@@ -664,16 +661,6 @@ export class PortfolioCalculatorNew {
         grossPerformancePercentage = grossPerformancePercentage.plus(
           currentPosition.grossPerformancePercentage.mul(currentInitialValue)
         );
-
-        netAnnualizedPerformance = netAnnualizedPerformance.plus(
-          this.getAnnualizedPerformancePercent({
-            daysInMarket: differenceInDays(
-              today,
-              parseDate(currentPosition.firstBuyDate)
-            ),
-            netPerformancePercent: currentPosition.netPerformancePercentage
-          }).mul(currentInitialValue)
-        );
         netPerformancePercentage = netPerformancePercentage.plus(
           currentPosition.netPerformancePercentage.mul(currentInitialValue)
         );
@@ -690,8 +677,6 @@ export class PortfolioCalculatorNew {
         grossPerformancePercentage.div(completeInitialValue);
       netPerformancePercentage =
         netPerformancePercentage.div(completeInitialValue);
-      netAnnualizedPerformance =
-        netAnnualizedPerformance.div(completeInitialValue);
     }
 
     return {
@@ -699,7 +684,6 @@ export class PortfolioCalculatorNew {
       grossPerformance,
       grossPerformancePercentage,
       hasErrors,
-      netAnnualizedPerformance,
       netPerformance,
       netPerformancePercentage,
       totalInvestment

apps/api/src/app/portfolio/portfolio.service-new.ts

@@ -42,6 +42,7 @@ import { REQUEST } from '@nestjs/core';
 import { AssetClass, DataSource, Type as TypeOfOrder } from '@prisma/client';
 import Big from 'big.js';
 import {
+  differenceInDays,
   endOfToday,
   format,
   isAfter,
@@ -480,7 +481,6 @@ export class PortfolioServiceNew {
       } = position;
 
       // Convert investment, gross and net performance to currency of user
-      const userCurrency = this.request.user.Settings.currency;
       const investment = this.exchangeRateDataService.toCurrency(
         position.investment?.toNumber(),
         currency,
@@ -736,7 +736,6 @@ export class PortfolioServiceNew {
       return {
         hasErrors: false,
         performance: {
-          annualizedPerformancePercent: 0,
           currentGrossPerformance: 0,
           currentGrossPerformancePercent: 0,
           currentNetPerformance: 0,
@@ -755,8 +754,6 @@ export class PortfolioServiceNew {
     );
 
     const hasErrors = currentPositions.hasErrors;
-    const annualizedPerformancePercent =
-      currentPositions.netAnnualizedPerformance.toNumber();
     const currentValue = currentPositions.currentValue.toNumber();
     const currentGrossPerformance =
       currentPositions.grossPerformance.toNumber();
@@ -769,7 +766,6 @@ export class PortfolioServiceNew {
     return {
       hasErrors: currentPositions.hasErrors || hasErrors,
       performance: {
-        annualizedPerformancePercent,
         currentGrossPerformance,
         currentGrossPerformancePercent,
         currentNetPerformance,
@@ -898,8 +894,24 @@ export class PortfolioServiceNew {
       .plus(performanceInformation.performance.currentValue)
       .toNumber();
 
+    const daysInMarket = differenceInDays(new Date(), firstOrderDate);
+
+    const annualizedPerformancePercent = new PortfolioCalculatorNew({
+      currency: userCurrency,
+      currentRateService: this.currentRateService,
+      orders: []
+    })
+      .getAnnualizedPerformancePercent({
+        daysInMarket,
+        netPerformancePercent: new Big(
+          performanceInformation.performance.currentNetPerformancePercent
+        )
+      })
+      ?.toNumber();
+
     return {
       ...performanceInformation.performance,
+      annualizedPerformancePercent,
       dividend,
       fees,
       firstOrderDate,

apps/api/src/app/portfolio/portfolio.service.ts

@@ -881,6 +881,8 @@ export class PortfolioService {
       netWorth,
       totalBuy,
       totalSell,
+      annualizedPerformancePercent:
+        performanceInformation.performance.annualizedPerformancePercent,
       cash: balance,
       committedFunds: committedFunds.toNumber(),
       ordersCount: orders.filter((order) => {

libs/common/src/lib/interfaces/portfolio-performance.interface.ts

@@ -1,5 +1,5 @@
 export interface PortfolioPerformance {
-  annualizedPerformancePercent: number;
+  annualizedPerformancePercent?: number;
   currentGrossPerformance: number;
   currentGrossPerformancePercent: number;
   currentNetPerformance: number;