AcctReturns appears wrong; doesn't match PortfReturns, possible patch

[rogerjbos]

In the example below I get a 6.9% portfolio return and a slightly negative account return and the problem is with the account return. I took a look at the function and found one way to fix it, but I might be way off base, please let me know.

In AcctReturns line 102 adds the daily P&L to initEq...

V = initEq + reclass(rowSums(table), table)                  # Account values

... but it seems we need the cumulative P&L, as such:

V = initEq + reclass(cumsum(rowSums(table)), table)                  # Account values

Also, line 107 calculates the returns as:

  returns =  V  / (lag(V) + CF) - 1

But the return on the first day is NA, so we need to fill it in, as such:

  returns =  V  / (lag(V) + CF) - 1
  returns[1] = V[1] / initEq - 1

This produces an account return which matches closely to the portfolio return. I am really interested in hearing feedback on this patch.

Start Example Code

require(blotter)
require(FinancialInstrument)
require(quantmod)
rm(.blotter)
if(!exists(".instrument")) .instrument <<- new.env()
if(!exists(".blotter")) .blotter <<- new.env()

currency("USD")
symbols = c("IBM")
for(symbol in symbols){ # establish tradable instruments
stock(symbol, currency="USD", multiplier=1)
}

getSymbols(symbols, from='2017-01-01', to='2017-01-31', src='yahoo', index.class=c("POSIXt","POSIXct"))

initPortf("p", symbols=symbols, currency="USD")

addTxn(Portfolio = "p", Symbol = "IBM", TxnDate = '2017-01-03', TxnQty = 1, TxnPrice = 166, TxnFees = 00)
addTxn("p", "IBM", '2017-01-27', -1, 177.30, TxnFees = 0)

updatePortf(Portfolio="p",Dates='2017-01')

initAcct(name="a", portfolios="p", initEq=166, currency="USD")
updateAcct("a",'2017-01')
updateEndEq("a",'2017-01')

portfolio_rets <- PortfReturns(Account="a", Dates="2017", Portfolios="p")
Return.cumulative(portfolio_rets)

account_rets <- AcctReturns(Account="a", Dates="2017", Portfolios="p")
Return.cumulative(account_rets)

p = getPortfolio("p")
a = getAccount("a")

account_test <- CalculateReturns(a$summary$End.Eq)
cbind(portfolio_rets, account_rets, account_test)